Table of contents alert
Do you want to receive an email alert about new issue?


Volume 56, Issue 5 -6


The Day-of-the-Week Effect on Stock-Market Volatility and Return: Evidence from Emerging Markets (in English)

Yalcin, Yeliz; Yycel, Eray M.

Year: 2006   Volume: 56   Issue: 5 -6   Pages: 258-277

Abstract: This study investigates day-of-the-week (DOW) anomalies in the stock markets of twenty emerging economies. The authors use a modified exponential generalized autoregressive conditional heteroskedasticity in-mean (EGARCH-M) modeling strategy that allows for the simultaneous examination of DOW effects on market return and variability. The effects on both are limited in the authorsĀ“ sample. To summarize, DOW effects are present in market returns for only three countries, in market volatility for only five countries, and they are present in both for only one country, when the estimates are evaluated at the 1 percent significance level. Despite this, at lower levels of significance the common qualitative patterns in the estimates are extracted such that the higher returns are concentrated around Fridays, whereas volatility is highest on Mondays and lowest on Tuesdays and Fridays.

JEL classification: C22, G10, G12

Keywords: day-of-the-week effect; EGARCH-M; emerging-market economies; volatility


RePEc: http://ideas.repec.org/a/fau/fauart/v56y2006i5-6p258-277.html

pdf Attachment [PDF] print Print   Recommend to others Recommend to others