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Day of the week effect anomaly in Dhaka Stock Exchange post crisis period: evidence from Bangladesh capital market

Author

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  • Md Arafat Hossain
  • Vahid Biglari

Abstract

This study examines day of the week effect anomaly in Dhaka Stock Exchange (DSE), during post crisis period. The Bangladesh stock market crashed on 19 December 2010, and the stock market remained sluggish for long time. This study used the daily closing prices of two important indexes (DGEN and DSI) during post crisis period, from 19 December 2010 to 31 December 2013. Regression statistics modelled with dummy variables, one-sample T-test statistics, paired-sample T-test statistics and ANOVA (one-way) for parametric test and Kruskal-Wallis and Wilcoxon signed rank test for non-parametric test, have been used to observe the day of the week effect anomaly in DSE. The results revealed irregularities in daily mean returns with different returns volatility in week. The study provides implications for policy makers to develop appropriate post-crisis policy tools and incentives to re-stabilise the market.

Suggested Citation

  • Md Arafat Hossain & Vahid Biglari, 2020. "Day of the week effect anomaly in Dhaka Stock Exchange post crisis period: evidence from Bangladesh capital market," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 10(4), pages 537-553.
    • Handle: RePEc:ids:afasfa:v:10:y:2020:i:4:p:537-553
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