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Day of the week effect on the Tunisian stock market return and volatility

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  • Abdelkader Derbali

    () (Institut Supérieur de Gestion Sousse, Université de Sousse)

  • Slaheddine Hallara

    (Université de Sousse)

Abstract

In this paper, we examine empirically the day of the week effect on the Tunisian stock exchange index (TUNINDEX) return and volatility. We use three multivariate General Autoregressive Conditional Heteroscedasticity models (GARCH (1,1), EGARCH (1,1) and TGARCH (1,1)) to examine the presence of daily anomalies in the TUNINDEX returns and volatilities during the period from December 31, 1997 to April 07, 2014. The empirical results of GARCH (1,1), EGARCH (1,1) and TGARCH (1,1) model indicate the existence of a significance and positive effect for Thursdays and for the return at (t-1) on the return and volatility of TUNINDEX in a threshold of 1%. Additionally, we find the presence of a significance and negative effect for Tuesday in the TUNINDEX return and volatility. Also, we can show the persistence of volatility in the case of Tunisian stock market index.

Suggested Citation

  • Abdelkader Derbali & Slaheddine Hallara, 2016. "Day of the week effect on the Tunisian stock market return and volatility," Post-Print hal-01696003, HAL.
  • Handle: RePEc:hal:journl:hal-01696003
    DOI: 10.1080/23311975.2016.1147111
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01696003
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