The Day Of The Week Effect Patterns On Stock Market Return And Volatility
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The Day Of The Week Effect Patterns On Stock Market Return And Volatility
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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.
The Day Of The Week Effect On Stock Market Volatility
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Author : Hakan Berument
language : en
Publisher:
Release Date : 2018
The Day Of The Week Effect On Stock Market Volatility 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 tests the presence of the day of the week effect on stock market volatility by using the S&P 500 market index during the period of January 1973 and October 1997. The findings show that the day of the week effect is present in both volatility and return equations. While the highest and lowest returns are observed on Wednesday and Monday, the highest and the lowest volatility are observed on Friday and Wednesday, respectively. Further investigation of sub-periods reinforces our findings that the volatility pattern across the days of the week is statistically different.
The Day Of The Week Effect On Stock Market Volatility And Volume
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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.
Stock Market Return And Volatility
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Author : Hakan Berument
language : en
Publisher:
Release Date : 2018
Stock Market Return And Volatility 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 paper examines the stock market returns and volatility relationship using US daily returns from May 26, 1952 to September 29, 2006. The empirical evidence reported here does not support the proposition that the return-volatility relationship is present and the same for each day of the week.
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.
An Empirical Analysis Of Calendar Anomalies In Stock Returns Evidence From India
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Author : Dr. Sitaram Pandey
language : en
Publisher: Book Rivers
Release Date : 2022-03-09
An Empirical Analysis Of Calendar Anomalies In Stock Returns Evidence From India written by Dr. Sitaram Pandey and has been published by Book Rivers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-03-09 with Antiques & Collectibles categories.
Day Of The Week Effect In Stock Market Return And Volatility Evidence From Japan United Kingdom South Africa And Czech Republic
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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.
Stock Market Structure Volatility And Volume
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Author : Hans R. Stoll
language : en
Publisher:
Release Date : 1990
Stock Market Structure Volatility And Volume written by Hans R. Stoll and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Business & Economics categories.
Day Of The Week Effect On Trading And Non Trading Stock Market Returns In India
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Author : Shahid Ahmed
language : en
Publisher:
Release Date : 2015
Day Of The Week Effect On Trading And Non Trading Stock Market Returns In India written by Shahid Ahmed and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
The present study examines the Day-of-the-Week effect anomaly in the Indian equity market during the period of July 1997 to March 2006 using daily data of NSE Nifty and BSE Sensex. The Day-of-the-Week effect implies that the stocks return is not independent of the Day-of-the-Week in which they are generated. If such an anomaly exists, market participants can take advantage of the same and adjust their buying and selling strategies accordingly to increase their returns. Both parametric and non-parametric approaches are applied to detect the Day-of- the-Week effect in both mean and volatility of returns. The results indicate that BSE starts upwards, declines in middle of the week and end downwards while NSE starts downward, upward in middle of the week and end downwards. The study reveals U-shaped intra-day pattern in price volatility in both the markets. The results also indicate differential pattern of movements in mean and variance of trading and non-trading returns across the weekdays. It is also observed that there is an improvement in the Day-of-the-Week anomaly during the period of January 2002 to March 2006.
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.