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Day-of-the-week effect in the Nigerian Stock Market Returns and Volatility: Does the Distributional Assumptions Influence Disappearance?

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  • Osabuohien-Irabor Osarumwense

Abstract

This study assesses the influence of error distributional assumption on appearance or disappearance of day-of-the-week effects in returns and volatility using the Nigerian stock exchange (NSE-30). The Gaussian, Student-t, and the Generalized error distribution were incorporated in the GARCH (2,1) and EGARCH (2,1) models. Result reveals that day-of-the-week effects are sensitive to error distribution. Our finding also shows that evidence of good or bad news in volatility does not only depend on the asymmetric model but also the choice of the error distribution. Thus, this study will provide adequate knowledge to policy makers, investors and researchers about day-of-the-week effect in stock markets.

Suggested Citation

  • Osabuohien-Irabor Osarumwense, 2015. "Day-of-the-week effect in the Nigerian Stock Market Returns and Volatility: Does the Distributional Assumptions Influence Disappearance?," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2015(4), pages 33-44.
    • Handle: RePEc:prg:jnlefa:v:2015:y:2015:i:4:id:148:p:33-44
    DOI: 10.18267/j.efaj.148
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    2. Nageri Kamaldeen Ibraheem, 2019. "Evaluating Good and Bad News During Pre and Post Financial Meltdown: Nigerian Stock Market Evidence," Studia Universitatis Babeș-Bolyai Oeconomica, Sciendo, vol. 64(3), pages 1-22, December.
    3. Júlio Lobão, 2018. "Are African Stock Markets Inefficient? New Evidence on Seasonal Anomalies," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 65(3), pages 283-301, September.

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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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