The Day-of-the-Week Effect in the Saudi Stock Exchange: A Non-Linear Garch Analysis

It is a well-known fact that the day-of-the-week effect in stock markets is one of the most prominent puzzling seasonal anomalies in finance and has been increasingly attracting attention from researchers and practitioners, as well as academics. This paper scrutinizes the day-of-the-week effect in t...

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Bibliographic Details
Published inJournal of Economic and Social Studies (Online) Vol. 1; no. 1; pp. 9 - 23
Main Authors Ulussever, Talat, Yumusak, Ibrahim Guran, Kar, Musin
Format Journal Article
LanguageEnglish
Published Sarajevo International Burch University 01.01.2011
Subjects
Bond markets
Equity
Foreign exchange futures
Futures market
Hypotheses
Investments
Prices
Rates of return
Securities markets
Stochastic models
Stock exchanges
Stock prices
Studies
Time series
Treasury bills
Volatility
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Summary:It is a well-known fact that the day-of-the-week effect in stock markets is one of the most prominent puzzling seasonal anomalies in finance and has been increasingly attracting attention from researchers and practitioners, as well as academics. This paper scrutinizes the day-of-the-week effect in the emerging equity market of Saudi Arabia, TADAWUL. By using a non-linear GARCH model and covering the data from January 2001 to December 2009, the findings of the study reveal that the returns on the five trading days follow different process. This confirms that mean daily returns are significantly different from each other and validates the day-of-the-week effect in TADAWUL. [PUBLICATION ABSTRACT]
ISSN:1986-8499
1986-8502
DOI:10.14706/JECOSS11112