Day-of-the-week effects in emerging stock markets

Syed A. Basher () and Perry Sadorsky
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Perry Sadorsky: York University

Finance from EconWPA

Abstract: This paper uses both unconditional and conditional risk analysis to investigate the day-of-the-week effect in 21 emerging stock markets. In addition, risk is allowed to vary across the days of the week. Different models produce different results but overall day-of-the-week effects are present for the Philippines, Pakistan and Taiwan even after adjusting for market risk. Other countries like Argentina, Malaysia, Thailand, and Turkey exhibit day-of-the-week effects in only some of the models.

Keywords: Emerging markets; market risk (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-fin and nep-fmk
Date: 2004-07-21
Note: Type of Document - pdf; pages: 14
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http://129.3.20.41/eps/fin/papers/0407/0407017.pdf (application/pdf)

Related works:
Journal Article: Day-of-the-week effects in emerging stock markets (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0407017

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