Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†

Abstract

In the second half of the 20th century, it was observed that weekday‐of‐Monday generate significantly lower returns than other days of the week. Literature has shown that the day effect exists on weekdays of the week, which is different from this day Monday. This study investigates day‐of‐the‐week effect in returns and volume of stock in emerging Asian markets by using ordinary least square regression (OLS), generalized autoregressive conditional heteroscedasticity (GARCH) (1, 1) and Kruskal‐Wallis test. The data are obtained from Thomson Reuters from July 2013 to March 2019 for the market indices and volume. The OLS and GARCH (1, 1) are employed through Eviews, while Kruskal‐Wallis test is used through SPSS. The results show a significant day‐of‐the‐week effect in returns in China, South Korea, Taiwan, Thailand, Indonesia and Pakistan. On the other hand, no significant day‐of‐the‐week effect in returns is revealed in India and Malaysia. Furthermore, significant differences in traded volume on different days are also observed in all markets except for Malaysia, where Monday is the least traded day in most markets. No evidence for co‐occurrence of day‐of‐the‐week effect in returns and volume is observed. The findings affirm inconsistency in the day‐of‐the‐week effect.

Calendar Anomalies in Islamic Frontier Markets

“…Gkillas et al (2021) show a positive return on Wednesdays for the majority of the 17 international equity markets they examined. Khan et al (forthcoming) show a significant day-of-the-week effect in the returns in China, South Korea, Taiwan, Thailand, Indonesia, and Pakistan. Wuthisatian (2021) reports a negative Monday effect for the Thai stock market.…”

The Evidence of The Day of The Week Effect (Dow) on Islamic Stock Market Return in Relation to Calendar Anomalies

“…The DOW, monthly, and holiday effects in the stock markets have been investigated with mixed conclusions. This anomaly still appears to exist in many emerging markets Caporale and Plastun (2017); Khan et al (2021), Kuala Lumpur Composite Index (KLCI) Muhammad and Rahman, 2010), ASEANfive stock markets of Indonesia, Malaysia, the Philippines, Singapore, and Thailand Chia 2010), Saudi Stock Exchange Farooq et al (2013) and Thailand Stock Exchange (Sutheebanjard and Premchaiswadi, 2010). Moreover, day of the week effect not only exist in equity stock market but also on Bitcoin Kurihara and Fukushima (2017); Aharon and Qadan (2018); Ma et al (2019), cyptocurrencies Caporale et al (2019) and commodities (Qadan and Idilbi-baya, 2021).…”

The Role of Artificial Intelligence (Ai) in Shaping Sustainable and Resilient Digital Supply Chains

“…This is especially valid for assembling firms who disperse 80% of their incomes on the acquisition of items and administrations (B. Khan, Aqil, Alam Kazmi, & Zaman, 2023). Manufacturing companies operating internationally have taken a number of steps to smooth up the function of procurement and the entire value chain in an effort to proactive upgrade their functioning in response to cost and revenue pressures (Anttila, 2023).…”