The day of the week effects in the Stock Exchange of Casablanca: analysis by intraday and interday returns

Aida Sy and Abdelkader Derbali

International Journal of Critical Accounting, 2015, vol. 7, issue 4, 366-386

Abstract: In this paper, we investigate empirically the day-of-the-week anomalies in the Stock Exchange of Casablanca. The OLS, GARCH(1, 1), EGARCH(1, 1) and TGARCH(1, 1) models were used to explain the existence of daily anomalies over the period of 3rd January 2005 to 29th August 2014. The data includes daily opening and closing index prices of the Stock Exchange of Casablanca. For the OLS empirical results verify that day of the week effects on the intraday and the interday do not affect the Moroccan Index MASI in the absence of the market risk factors. Most importantly, empirical results indicate that Thursday has a negative impact on stock returns in Moroccan Stock Exchange. For none normally of the return distributions of the MASI index, we use the GARCH models. The results from the GARCH models indicate the existence of day-of-the-week effects on stock returns and volatility of the Moroccan stock market.

Keywords: day of the week effect; intraday returns; interday returns; market risk factors; GARCH; EGARCH; TGARCH; Stock Exchange of Casablanca; Morocco; stock returns; market volatility; stock markets. (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijcrac:v:7:y:2015:i:4:p:366-386

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