Day Of The Week Effects

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Seasonalities In Stock Markets

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Author : George Drogalas
language : en
Publisher:
Release Date : 2014

Seasonalities In Stock Markets written by George Drogalas 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.

Day of the week effect phenomenon is one of the most important calendar anomalies that have been observed in many stock markets in all over the world. This specific phenomenon has been observed and studied by many researchers for many years and as a consequence there are a lot of different results. The present paper aims at examining in a theory level the meaning, the boundaries and the effects of this phenomenon. First of all, we make a short introduction about the day of the week effect phenomenon in general. After that, we present two significant issues: on the one hand the distinction between perfect and imperfect markets, on the other hand the analysis of the efficient market hypothesis. Then we analyze some of the most important calendar anomalies, which have been observed in many stock markets in all over the world and its possible explanations. Finally we analyze more analytically, the day of the week effect phenomenon and its possible explanations.

Day Of The Week Effects In Stock Returns

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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 Japanese Stocks

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Author : Kiyoshi Katō
language : en
Publisher:
Release Date : 1989

Day Of The Week Effects In Japanese Stocks written by Kiyoshi Katō and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Capitalists and financiers categories.

Day Of The Week Effects In Nse Stock Returns

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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.

Can Day Of The Week Effect Be Explained By Interbank Rates

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Author : Ekrem Tufan
language : en
Publisher:
Release Date : 2005

Can Day Of The Week Effect Be Explained By Interbank Rates written by Ekrem Tufan 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.

This paper reports the results of various tests of the day of the week effects using daily observations on the National 30 Index for Turkish stock exchange and interbank rates for the period January 3, 1997 and July 23, 2001. It is also searched whether day of the week effects be explained by interbank rates or not. While significant evidence of day of the week effects is reported and tried to explain it's reasons in literature, there is no significant explanation about it. The paper reports a significant day of the week effects for both market and investors can beat the markets and earn excess returns by using an active trading strategy than a simple buy and hold strategy. It's also could be said day of the week effect can be explained by interbank rates for an emerging market, namely Turkey.

Day Of The Week Effect In High Moments

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Author : Dan Galai
language : en
Publisher:
Release Date : 2005

Day Of The Week Effect In High Moments written by Dan Galai 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.

Evidence from equity markets worldwide indicates that the Day-of-the-Week anomaly appears to fade from the first moment of the distribution of daily returns. We report highly significant pair-wise weekend effects in high moments when comparing the first and last trading days of the week. The second moment alone appears to distinguish the return distribution of the first trading day from all others. A probable explanation of the phenomena appears to be information dissemination: corporate announcements released after closing of the last trading day of the week spill-over to the opening of the first trading day, increasing its variability and carrying the closing sign.

Day Of The Week Effect Revisited

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Author : Mehmet F. Dicle
language : en
Publisher:
Release Date : 2014

Day Of The Week Effect Revisited written by Mehmet F. Dicle 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.

The aim of this study is to determine whether the DOW effect still exists, and to evaluate empirically the explanations of the DOW effect for international equity markets. Evaluating 51 markets in 33 countries for the period between January, 2000 and December, 2007, reveals that the DOW effect persists for a significant proportion of equity markets. Evaluating open-to-close returns, liquidity, size effect and possible spill-over effects, the DOW effect can be explained for almost of all the exchanges. Individual stock analysis, covering 37,631 stocks traded in 51 equity markets shows that a DOW effect in returns exists for a statistically significant proportion of individual stocks in almost all of the markets in the study. Even markets without a market-level DOW effect contain a surprisingly large proportion of stocks with individual-level DOW effects. Interestingly, this proportion is only marginally lower than that which is found in markets with a market-level DOW effect.

Day Of The Week Effects

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Author : Andrew Clare
language : en
Publisher:
Release Date : 1994

Day Of The Week Effects written by Andrew Clare and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Stock exchanges categories.

An Analysis Of Day Of The Week Effects In Bangladesh Stock Market

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Author : Mohammed Iqbal
language : en
Publisher:
Release Date : 2016

An Analysis Of Day Of The Week Effects In Bangladesh Stock Market written by Mohammed Iqbal 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.

Day of the week effect is an important calendar anomaly that has been observed in many stock markets in all over the world. Investors around the world are more concerned about the day which is best for trading because stock markets are speculative market. The primary objective of this paper is to find out the significant day of the week effect in the emerging stock market of a developing country like Bangladesh. This study tests the presence of the day effect on stock market volatility by using the DSE market index during the period of June 2004 to March 2015. The findings show that the day effect is present in both volatility and return equations. While the highest and lowest returns are observed on Thursday and Monday respectively, the highest and the lowest volatility are observed on Monday and Wednesday respectively. Further investigation of sub-periods reinforces our findings that the volatility pattern across the days of the week is statistically different.

Day Of The Week Effects

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Author : E. Balaban
language : en
Publisher:
Release Date : 1994

Day Of The Week Effects written by E. Balaban and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with categories.