DOW effects in returns and in volatility of stock markets during quiet and turbulent times

Ramona Dumitriu and Razvan Stefanescu

MPRA Paper from University Library of Munich, Germany

Abstract: The persistence in time of the calendar anomalies is one of the most disputed subjects from the financial literature. Quite often, the passing from quiet to turbulent periods of time provokes radical changes in the investors’ behaviors which affect the stock markets seasonality. In this paper we investigate the presence of the day of the week effects in returns and volatility for 32 indexes from advanced and emerging markets. We analyze this seasonality for two periods of time: a relative quiet period, from January 2000 to December 2006, and a more turbulent period, from January 2007 to September 2012. A GJR-GARCH model allows us to identify, for the two periods, various forms of day of the week effects in returns and volatility. However, only for few indexes we find the stability in time of the daily seasonality. For many of the advanced markets indexes, the day of the week effects in returns identified for the quiet period disappeared during the turbulent period. A less radical decline occurred for the day of the week effects in volatility. In the case of indexes from the emerging markets, the persistence in time of the daily seasonality in returns was more consistent in comparison with advanced markets indexes. Regarding the volatility of emerging markets, we find that during the turbulent period many day of the week effects in volatility disappeared, while new others appeared.

Keywords: Calendar Anomalies; GJR - GARCH; Volatility; Day of the Week Effects; Stock Markets (search for similar items in EconPapers)
JEL-codes: C58 G02 G14 G15 (search for similar items in EconPapers)
Date: 2013-02-28, Revised 2013-04-02
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (2)

Published in Proceedings of the 5th International Conference on Economics and Administration 2013 (2013): pp. 143-169

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:47218

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