Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes

Swarnankur Chatterjee

Papers from arXiv.org

Abstract: 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. Moreover, the results from using the asymmetric 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.

Date: 2017-01
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1701.07175

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