The Saturday effect in emerging stock markets: a stochastic dominance approach

Osamah Al‐Khazali, Taisier A. Zoubi and Evangelos P. Koumanakos

International Journal of Emerging Markets, 2010, vol. 5, issue 2, 227-246

Abstract: Purpose - The purpose of this paper is to empirically investigate the Saturday effect in three emerging stock markets (Bahrain, Kuwait, and Saudi Arabia) by taking into consideration the thin trading that is normal in such capital markets. Design/methodology/approach - The paper applies the stochastic dominance (SD) approach, which is not distribution‐dependent and can shed light on the utility and wealth implications of portfolio preferences by exploiting information in higher order moments, to investigate empirically the existence of the Saturday effect in the three Gulf stock markets. Findings - The findings indicate that the Saturday effect does not manifest itself in the three Gulf stock markets and that the SD results show that the Saturday effect in these markets is not present when raw data are corrected for thin and infrequent trading. Originality/value - This paper is believed to be the first to use SD approach to examine the Saturday effect.

Keywords: Stochastic processes; Emerging markets; Stock markets; Bahrain; Kuwait; Saudi Arabia (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eme:ijoemp:17468801011032819

DOI: 10.1108/17468801011032819

Access Statistics for this article

International Journal of Emerging Markets is currently edited by Prof Ilan Alon

More articles in International Journal of Emerging Markets from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().