Day of the week effect on the Tunisian stock market return and volatility

Abdelkader Derbali () and Slaheddine Hallara
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Abdelkader Derbali: Institut Supérieur de Gestion Sousse, Université de Sousse
Slaheddine Hallara: Université de Sousse

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Abstract: In this paper, we examine empirically the day of the week effect on the Tunisian stock exchange index (TUNINDEX) return and volatility. We use three multivariate General Autoregressive Conditional Heteroscedasticity models (GARCH (1,1), EGARCH (1,1) and TGARCH (1,1)) to examine the presence of daily anomalies in the TUNINDEX returns and volatilities during the period from December 31, 1997 to April 07, 2014. The empirical results of GARCH (1,1), EGARCH (1,1) and TGARCH (1,1) model indicate the existence of a significance and positive effect for Thursdays and for the return at (t-1) on the return and volatility of TUNINDEX in a threshold of 1%. Additionally, we find the presence of a significance and negative effect for Tuesday in the TUNINDEX return and volatility. Also, we can show the persistence of volatility in the case of Tunisian stock market index.

Keywords: day of the week; volatility; returns; GARCH; T-GARCH; E-GARCH; TUNINDEX (search for similar items in EconPapers)
Date: 2016
Note: View the original document on HAL open archive server: https://hal.science/hal-01696003v1
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Citations: View citations in EconPapers (4)

Published in Cogent Business & Management, 2016, 3, ⟨10.1080/23311975.2016.1147111⟩

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Journal Article: Day-of-the-week effect on the Tunisian stock market return and volatility (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01696003

DOI: 10.1080/23311975.2016.1147111

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