Day Of The Week Effect In Stock Return Evidence From Karachi Stock Market

DOWNLOAD

Download Day Of The Week Effect In Stock Return Evidence From Karachi Stock Market PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Day Of The Week Effect In Stock Return Evidence From Karachi Stock Market book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page

Day Of The Week Effect In Stock Return Evidence From Karachi Stock Market

DOWNLOAD
Author : Yasir Kamal
language : en
Publisher:
Release Date : 2005

Day Of The Week Effect In Stock Return Evidence From Karachi Stock Market written by Yasir Kamal and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

Existing literature on the day-of-the-week stock return anomaly focuses mainly on the United States and other advanced economies with little or no attention to the emerging markets, including those of South and East Asian countries markets. In an attempt to address this gap in the literature, this paper conducts an empirical investigation of the day-of-the-week stock return anomaly of the Pakistani stock market (KSE 100 index). The Augmented Dickey fuller test suggests that there is no unit root for both the data sets and hence the time series is stationary while the variance ratio test result indicates a sort of predictable elements in stock return for pre 9/11 data set and a complete random walk for the post 9/11 data set. Other statistical tools indicate negative Monday returns for pre 9/11 data set and positive Monday returns for post 9/11 data set. A highest positive deviation for Monday Friday pair for pre 9/11 data set, and no such deviation for post 9/11 data set were observed. These findings provided evidence that the Pre 9/11 data set contain some sort of anomalies in stock return and provide no evidence to support the presence of any significant daily patterns in the stock market returns in post 9/11 data set.

Day Of The Week Effect And Stock Returns

DOWNLOAD
Author : Faryad Hussain
language : en
Publisher:
Release Date : 2017

Day Of The Week Effect And Stock Returns written by Faryad Hussain and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.

Day of the week effect study is focused as a stock market anomaly on the equity market practices in Pakistan. The modus-operandi applicable in this research consists of daily stock prices concerned to KSE-100 Index, for the period January 2006 to December 2010. The working week for trade matters consist of five days. Study concludes that Tuesday returns are quite significant and positive. Hence it is inferred that there exists day effect in Pakistani stock market. The returns of Tuesday on an average are greater in comparison to rest of the days. The regression analysis is performed to meet the thrust of this study.

The Day Of The Week Effect Of Stock Returns

DOWNLOAD
Author : Sedeaq Nassar
language : en
Publisher:
Release Date : 2018

The Day Of The Week Effect Of Stock Returns written by Sedeaq Nassar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.

This study examines the presence of one of the prominent anomalies which is the day of the week effect anomaly in five of Arab stock exchanges which are (Qatar, Amman, Palestine, Egypt, and Bahrain stock exchanges) cover the period from May 2010 to April 2014. By using one-way analysis of variance (ANOVA) analysis and Post Hoc Tests, the study indicates that there is no existence of the day of the week effect in each of (Qatar, Amman, Egypt, and Bahrain stock exchange) while it is presence in Palestine stock exchange where the lowest return is in Sunday (the first trading day of the week) and the highest return is in Tuesday.

The Day Of The Week Effect In Daily Stock Returns

DOWNLOAD
Author : Jing Zhao
language : en
Publisher:
Release Date : 2004

The Day Of The Week Effect In Daily Stock Returns written by Jing Zhao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.

Day Of The Week Effect In Stock Market Return And Volatility Evidence From Japan United Kingdom South Africa And Czech Republic

DOWNLOAD
Author : Todorka Petkova Tosheva
language : en
Publisher:
Release Date : 2006

Day Of The Week Effect In Stock Market Return And Volatility Evidence From Japan United Kingdom South Africa And Czech Republic written by Todorka Petkova Tosheva and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.

Day Of The Week Effects In Stock Returns

DOWNLOAD
Author : S. Arumugam
language : en
Publisher:
Release Date : 1997

Day Of The Week Effects In Stock Returns written by S. Arumugam and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Stock exchanges categories.

Day Of The Week Effects In Nse Stock Returns

DOWNLOAD
Author : Varun Arora
language : en
Publisher:
Release Date : 2008

Day Of The Week Effects In Nse Stock Returns written by Varun Arora and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.

The presence of the seasonal or monthly effect in stock returns has been reported in several developed and emerging stock markets. This study investigates the existence of seasonality in India's stock market, primarily trying to detect the quot;Day of the Week Effectquot; in the Stocks listed on the National Stock Exchange. It covers the post-reform period. The study uses the Daily return data of the stocks listed on National Stock Exchange and Bombay Stock Exchange Index for the period from November 1994 to September 2007 for analysis. After examining the stationarity of the return series, by applying quot;Kruskal Wallisquot; test and quot;One Way Anovaquot; i.e. using both Parametric and Non Parametric Tests, we specify an Augmented Dummy Regressive model to find the Day of the week effect monthly effect in stock returns in India. Another feature of our study was that we analysed the day of the week effect in three different phases of market ie. quot;Consolidationquot; Phase, quot;Bearishquot; Phase and the quot;Bullishquot; Phase. This was carried with an intention to see whether the day of the week effect was visible in these specific market phases or not. The results confirm the existence of seasonality (in the form of Day of the Week Effect) stock returns in India for 66 Stocks spanning across various sectors that we analysed - The results of the study imply that the stock market in India is inefficient, and hence, investors can time their share investments to improve returns and make abnormal profits. However the Day of the Week effect was found to be absent in the Bullish as well as the Bearish phase, which was a departure from our previous belief of the existence of this effect in all phases of the market.

Day Of The Week Effect

DOWNLOAD
Author : John Okey Onoh
language : en
Publisher:
Release Date : 2016

Day Of The Week Effect written by John Okey Onoh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.

It is well documented that expected stock returns vary with the day of the week in developed stock markets as well as in emerging stock markets. The evidence of this seasonal pattern has, however, been very scanty in the case of Nigeria. The research therefore investigates the presence of the day of the week in the Nigerian Stock Exchange. The Ordinary Least Square method was used to analyze the stock returns pattern for a period ranging from 2nd January 2009 to 31st December 2015. Results obtained from the study shows that Friday returns is significantly higher than returns of other days of the week. This finding confirms the existence of the day of the week effect in the NSE daily return.

The Day Of The Week Effect On Stock Market Volatility And Volume

DOWNLOAD
Author : Hakan Berument
language : en
Publisher:
Release Date : 2018

The Day Of The Week Effect On Stock Market Volatility And Volume written by Hakan Berument and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.

This study investigates the day of the week effect on the volatility of major stock market indexes for the period of 1988 through 2002. Using a conditional variance framework, we find that the day of the week effect is present in both return and volatility equations. The highest volatility occurs on Mondays for Germany and Japan, on Fridays for Canada and the United States, and on Thursdays for the United Kingdom. For most of the markets, the days with the highest volatility also coincide with that market's lowest trading volume. Thus, this paper supports the argument made by Foster and Viswanathan [Rev. Financ. Stud. 3 (1990) 593] that high volatility would be accompanied by low trading volume because of the unwillingness of liquidity traders to trade in periods of high stock market volatility.

The Day Of The Week Effect Patterns On Stock Market Return And Volatility

DOWNLOAD
Author : Dimitris Kenourgios
language : en
Publisher:
Release Date : 2014

The Day Of The Week Effect Patterns On Stock Market Return And Volatility written by Dimitris Kenourgios and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.

This paper investigates the day of the week effect in the Athens Stock Exchange (ASE) General Index over a ten year period divided into two subperiods: 1995-2000 and 2001-2004. Five major indices are also considered: Banking, Insurance, and Miscellaneous for the first subperiod, and FTSE-20 and FTSE-40 for the second subperiod. Using a conditional variance framework, which extends previous work on the Greek stock market, we test for possible existence of day of the week variation in both return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified-GARCH (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is present for the examined indices of the emerging ASE over the period 1995-2000. However, this stock market anomaly seems to loose its strength and significance in the ASE over the period 2001-2004, which might be due to the Greek entry to the Euro-Zone and the market upgrade to the developed.