The day-of-the-week effect on stock-market volatility and return: Evidence from emerging markets

dc.citation.epage279en_US
dc.citation.issueNumber5-6en_US
dc.citation.spage258en_US
dc.citation.volumeNumber56en_US
dc.contributor.authorYalcin, Y.en_US
dc.contributor.authorYucel, E.M.en_US
dc.date.accessioned2016-02-08T10:18:46Z
dc.date.available2016-02-08T10:18:46Z
dc.date.issued2006en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractThis 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 authors' 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.en_US
dc.identifier.issn151920
dc.identifier.urihttp://hdl.handle.net/11693/23762
dc.language.isoEnglishen_US
dc.source.titleFinance a Uver - Czech Journal of Economics and Financeen_US
dc.subjectDay of the week effecten_US
dc.subjectE-GARCH-Men_US
dc.subjectEmerging market economiesen_US
dc.subjectVolatilityen_US
dc.titleThe day-of-the-week effect on stock-market volatility and return: Evidence from emerging marketsen_US
dc.typeArticleen_US

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