Analyzing the Day of the Week Effect: A Study on Stock Market Returns

Norashikin Adam, MSiti Musliha Mohd Idris, Khairunnisa’ Yussof, Norzahidah Yacob and Wan Rasyidah Wan Musa
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Norashikin Adam: Faculty of Business and Management, Universiti Teknologi MARA, Alor Gajah Campus, Melaka, Malaysia
MSiti Musliha Mohd Idris: Faculty of Business and Management, Universiti Teknologi MARA, Alor Gajah Campus, Melaka, Malaysia
Khairunnisa’ Yussof: Faculty of Business and Management, Universiti Teknologi MARA, Alor Gajah Campus, Melaka, Malaysia
Norzahidah Yacob: Faculty of Business and Management, Universiti Teknologi MARA, Alor Gajah Campus, Melaka, Malaysia
Wan Rasyidah Wan Musa: Faculty of Business and Management, Universiti Teknologi MARA, Alor Gajah Campus, Melaka, Malaysia

International Journal of Research and Innovation in Social Science, 2024, vol. 8, issue 9, 1843-1853

Abstract: The study investigates the Day of the Week (DOW) effect on stock market returns in Malaysia, Indonesia, and the Dow Jones Islamic Market Index (DJIM). Utilizing GARCH models to examine stock return volatility, the study identifies significant calendar anomalies in stock returns, particularly lower returns on Mondays and higher returns on Fridays. These findings challenge the Efficient Market Hypothesis (EMH), suggesting predictable patterns in markets, particularly in emerging economies. This research provides insights into investor behavior and trading strategies, offering practical implications for market practitioners and academics.

Date: 2024
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