Capitalizing on the weekend effect

Kim, Sun-Woong

doi:10.3905/jpm.1988.409156

Cited by 46 publications

(27 citation statements)

References 18 publications

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“…The results from the study by Kim (1988), Tang and Kwok (1997), and Lee et al (1990) confirmed the day of the week effect for both developed and emerging markets. Further, they have identified the negative Monday effect and the positive and relatively high mean return for Friday.…”

Section: Literature Reviewsupporting

confidence: 57%

An Empirical Investigation on Stock Market Anomalies: The Evidence from Colombo Stock Exchange in Sri Lanka

Deyshappriya

2014

IJEF

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The current study examines the Stock Market Anomalies in Colombo Stock Exchange (CSE); Sri Lanka during the period of 2004 to 2013. The existences of both Day of the Week Effect and Monthly Effect have been tested using daily and monthly data respectively. The Ordinary Least Squares (OLS) method and GARCH (1, 1) model were employed to capture the Day of the Week effects and Monthly Effects along with the daily volatility behavior. The sample period was divided in to two periods as War Period and Post War Period in order to take the impacts of the War in to account. The results indicate the presence of negative Monday effect and the positive effects for all other days only for the war period. Further, the positive volatility effect on Monday and the negative volatility effect on Friday have been examined for both war period and the entire sample period with significant Wald F statistics. Despite, the positive January effects are common for all sample periods, the negative December effects cannot be identified for post war period. Hence, the study confirms the existence of Stock Market anomalies; both day of the week effect and monthly effect particularly during the war period. Moreover, these seasonality patterns limit the validity of Efficient Market Hypothesis in the context of Colombo Stock Exchange.Keywords: day of the week effect, monthly effect, efficient market hypothesis, volatility effect, stock market anomalies

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Section: Literature Reviewsupporting

confidence: 57%

An Empirical Investigation on Stock Market Anomalies: The Evidence from Colombo Stock Exchange in Sri Lanka

Deyshappriya

2014

IJEF

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“…Similar results are found in the context of Asian countries (Aggarwal and Rivoli (1989) in the stock markets of Hong Kong, Malaysia and Philippines, Wong, Hui and Chan (1992) in the markets of Singapore, Malaysia, Hong Kong, and Thailand, or Kim (1988) in the stock markets of Japan and Korea).…”

Section: The Day-of-the-week Effect On Return and Trading Volumesupporting

confidence: 72%

Stock Return and Trading Volume Distribution across the Day-of-the-week: Evidence from the Japanese Stock Market

Dhaoui¹,

Farhani²,

Garfatta³

2011

JECOSS

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“…With regard to day of the week effect, numerous studies have concluded that the average stock returns in the US, U.K. and Canada are significantly negative on Mondays and positive on Fridays (Harris, 1986;Keim & Stambaugh, 1984;Kim, 1988;Lakonishok & Levi, 1982;). For the Japanese and Australian stock markets, Jaffe and Westerfield (1985) find the lowest mean returns occur on Thursday.…”

Section: Brief Literature Reviewmentioning

confidence: 97%