DAY-OF-THE-WEEK EFFECT IN US BIOTECHNOLOGY STOCKS — DO POLICY CHANGES AND ECONOMIC CYCLES MATTER?
Swarnankur Chatterjee () and
Amy Hubble ()
Additional contact information
Amy Hubble: 205, Dawson Hall, University of Georgia, Athens, GA 30602
Annals of Financial Economics (AFE), 2016, vol. 11, issue 02, 1-17
This study examines the presence of the day-of-the-week effect on daily returns of biotechnology stocks over a 16-year period from January 2002 to December 2015. Using daily returns from the NASDAQ Biotechnology Index (NBI), we find that the stock returns were the lowest on Mondays, and compared to the Mondays the stock returns were significantly higher on Wednesdays, Thursdays, and Fridays. The day-of-the-week effect on returns of biotechnology stocks remained significant even after controlling for the Fama–French and Carhart factors. Moreover, the results from using the asymmetric generalized autoregressive conditional heteroskedastic (GARCH) processes reveal that momentum and small-firm effect were positively associated with the market risk-adjusted returns of the biotechnology stocks during this period. The findings of our study suggest that active portfolio managers need to consider the day of the week, momentum, and small-firm effect when making trading decisions for biotechnology stocks. Implications for portfolio managers, small investors, scholars, and policymakers are included.
Keywords: Day-of-the-week effect; behavioral finance; market efficiency; GARCH; EGARCH; GJR; biotechnology stocks; NASDAQ NBI; financial markets; investments; returns (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wsi:afexxx:v:11:y:2016:i:02:n:s2010495216500081
Ordering information: This journal article can be ordered from
Access Statistics for this article
Annals of Financial Economics (AFE) is currently edited by Michael McAleer
More articles in Annals of Financial Economics (AFE) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().