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The Day-of-the-Week Effect on Stock-Market Volatility and Return: Evidence from Emerging Markets (in English)

  • Yeliz Yalcin

    ()

    (Department of Econometrics, Gazi University, Ankara, Turkey)

  • Eray M. Yycel

    ()

    (Research and Monetary Policy Department, Central Bank of the Republic of Turkey, Ankara, Turkey and Department of Economics, Bilkent University, Ankara, Turkey)

This study investigates day-of-the-week (DOW) anomalies in the stock markets of twenty emerging economies. The authors use a modified exponential generalized autoregressive conditional heteroskedasticity in-mean (EGARCH-M) modeling strategy that allows for the simultaneous examination of DOW effects on market return and variability. The effects on both are limited in the authorsĀ“ sample. To summarize, DOW effects are present in market returns for only three countries, in market volatility for only five countries, and they are present in both for only one country, when the estimates are evaluated at the 1 percent significance level. Despite this, at lower levels of significance the common qualitative patterns in the estimates are extracted such that the higher returns are concentrated around Fridays, whereas volatility is highest on Mondays and lowest on Tuesdays and Fridays.

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Article provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.

Volume (Year): 56 (2006)
Issue (Month): 5-6 (May)
Pages: 258-277

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Handle: RePEc:fau:fauart:v:56:y:2006:i:5-6:p:258-277
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  1. Sinclair Davidson & Robert Faff, 1999. "Some additional Australian evidence on the day-of-the-week effect," Applied Economics Letters, Taylor & Francis Journals, vol. 6(4), pages 247-249.
  2. David Bell & Eric Levin, 1998. "What causes intra-week regularities in stock returns? Some evidence from the UK," Applied Financial Economics, Taylor & Francis Journals, vol. 8(4), pages 353-357.
  3. K.C. Chan & G. Andrew Karolyi & Rene M. Stulz, 1992. "Global Financial Markets and the Risk Premium on U.S. Equity," NBER Working Papers 4074, National Bureau of Economic Research, Inc.
  4. Cosimano, Thomas F & Jansen, Dennis W, 1988. "Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: A Comment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(3), pages 409-21, August.
  5. Kiymaz, Halil & Berument, Hakan, 2003. "The day of the week effect on stock market volatility and volume: International evidence," Review of Financial Economics, Elsevier, vol. 12(4), pages 363-380.
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