Day Of The Week Effects In Stock Returns
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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.
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 Intraday Effects In Stock Returns
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Author : Michael Smirlock
language : en
Publisher:
Release Date : 1985
Day Of The Week Intraday Effects In Stock Returns written by Michael Smirlock and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Stocks categories.
The Day Of The Week Effect Of Stock Returns
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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
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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 Effects In Turkish Stock And Money Markets
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Author : Recep Bildik
language : en
Publisher:
Release Date : 2002
Day Of The Week Effects In Turkish Stock And Money Markets written by Recep Bildik and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
This study examines the daily seasonalities in emerging Turkish Stock and Money Markets. Within this framework, day-of-the-week-effects in overnight interest rate changes both in the Central Bank Interbank Money Market and the Istanbul Stock Exchange (ISE) Repo Market as well as in stock returns and liquidity at the ISE Stock Market are investigated.Results have shown the existence of significant day-of-the-week-effects both in overnight interest rate changes and stock returns. Overnight interest rates significantly fall on Wednesdays and increase on Mondays relative to the previous days. At the stock market, returns are significantly higher in the second part of the week and lower in the first two days of the week. Seasonalities in volatility and liquidity across the week confirmed the prior findings. Dynamic trading strategies based on the daily seasonalities in stock returns are able to produce significantly higher returns than market return of a simple quot;buy and holdquot; strategy in some periods neglecting transaction costs.Some evidences are documented for the relationship between the existence of day effect in overnight interest rates and Treasury Bill Auctions, institutional practices and the other factors which effect the liquidity conditions of the market creating the seasonality in liquidity.Findings support the quot;settlement procedurequot; explanation for the day-of-the-week effect in stock returns due to the fact that significant differences and movements in stock returns, return/risk, and liquidity indicators are observed between different periods in which different settlement procedures are employed in the stock market. On the other hand, negative Monday returns disappear when the mean return of previous Friday is positive.Finally, these results have shown the existence of significant day-of-the-week-effects both in overnight interest rate changes and stock returns which is promising excess return for portfolio managers, and indicate that regulatory bodies of the markets, institutional practices and public authorities have an important creative impact on the seasonalities in stock and money markets.
Day Of The Week Effect In Stock Return Evidence From Karachi Stock Market
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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 Of Common Stock Returns
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Author : Loke Yee Wong
language : en
Publisher:
Release Date : 1987
Day Of The Week Effect Of Common Stock Returns written by Loke Yee Wong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Stocks categories.
Once Upon A Time
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Author : Jörg Prokop
language : en
Publisher:
Release Date : 2009
Once Upon A Time written by Jörg Prokop and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
This paper studies the development of the day-of-the-week effect in German and US stock market returns over the past decades. Using an OLS regression approach, we analyse four major German stock market indices for abnormal returns on each trading day of the week, with the longest observation period ranging from 2007 back to the mid-1960s. Moreover, as prior studies indicate the existence of a relationship between the magnitude of the day-of-the-week anomaly and the time of the month at which it occurs, we also analyse the indices' return behaviour categorised by week of the month. The results are compared to those of prior studies, as well as to our own findings for a sample covering the US stock market. We find that for both markets, the leading equity indices, DAX and SP500, exhibit a strong Monday effect during the older sample periods, which is fading over time, reversing during the 1990s, and vanishing after the year 2000. However, regarding smaller stock market indices, our results for the German and for the US data differ substantially, indicating that there is no general parallel market behaviour with respect to this specific return anomaly. Finally, with respect to the more recent sample periods, none of the daily return anomalies observable between the 1960s and the 1980s seem to have persisted, suggesting an increase in informational efficiency of the respective markets over time.
The Day Of The Week Effect On Stock Market Returns And Volatility
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Author : Joe Sundram
language : en
Publisher:
Release Date : 2004
The Day Of The Week Effect On Stock Market Returns And Volatility written by Joe Sundram and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Dividends categories.