The Day-of-the-Week Effect on Stock-Market Volatility and Return: Evidence from Emerging Markets (in English)

Yeliz Yalcin () and Eray M. Yycel ()
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Eray M. Yycel: Research and Monetary Policy Department, Central Bank of the Republic of Turkey, Ankara, Turkey and Department of Economics, Bilkent University, Ankara, Turkey
Authors registered in the RePEc Author Service: Mustafa Eray Yucel ()

Czech Journal of Economics and Finance (Finance a uver), 2006, vol. 56, issue 5-6, pages 258-277

Abstract: This study investigates day-of-the-week (DOW) anomalies in the stock markets of twenty emerging economies. The authors use a modified exponential generalized autoregressive conditional heteroskedasticity in-mean (EGARCH-M) modeling strategy that allows for the simultaneous examination of DOW effects on market return and variability. The effects on both are limited in the authors´ sample. To summarize, DOW effects are present in market returns for only three countries, in market volatility for only five countries, and they are present in both for only one country, when the estimates are evaluated at the 1 percent significance level. Despite this, at lower levels of significance the common qualitative patterns in the estimates are extracted such that the higher returns are concentrated around Fridays, whereas volatility is highest on Mondays and lowest on Tuesdays and Fridays.

Keywords: day-of-the-week effect; EGARCH-M; emerging-market economies; volatility (search for similar items in EconPapers)
JEL-codes: C22 G10 G12 (search for similar items in EconPapers)
Date: 2006
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Persistent link: http://EconPapers.repec.org/RePEc:fau:fauart:v:56:y:2006:i:5-6:p:258-277

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