Modelling the day-of-the-week effect in the Kuwait Stock Exchange: a nonlinear GARCH representation

Al-Loughani, Nabeel E.; Chappell, David

doi:10.1080/096031001300313910

Cited by 43 publications

(16 citation statements)

References 24 publications

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“…Also,Gregoriou et al (2004), conclude that once transaction costs are considered there is no day-of-the-week effect on the UK stock market. 4 Also, statistically significant positive returns were found on Monday byBhattacharya et al (2003) for India (on the weeks cash reserves are not reported to the central bank), and on the first day of the trading week for Kuwait (it is a Saturday) byAl-Loughani and Chappell (2001). 5 Similar results are reported for the sub-period 1985 to 1987.…”

supporting

confidence: 81%

The day-of-the-week effect in the Athens Stock Exchange (ASE)

Tsangarakis

2007

Applied Financial Economics

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supporting

confidence: 81%

The day-of-the-week effect in the Athens Stock Exchange (ASE)

Tsangarakis

2007

Applied Financial Economics

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“…We choose the best GARCH(p,q) that fits the data series on the basis of Maximum Likelihood, AIC, and BIC criteria. Empirical studies estimating GARCH-type models typically assume a normal error distribution (Hsieh, 1991;Al-Loughani & Chappell, 2001;Bhattacharya, Sarkar, & Mukhopadhyay, 2003;Saadi, Gandhi, & Dutta, 2006).…”

Section: The Day-of-the-week Effect and Garch With Different Distribumentioning

confidence: 99%

The day‐of‐the‐week effect and conditional volatility: Sensitivity of error distributional assumptions

2007

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We test for reliable evidence of the day‐of‐the‐week effect on both the mean and volatility for the S&P/TSX Canadian return index. Unlike previous studies, we permit several specifications for the error distribution — GARCH normal, Student's t, generalized error distribution, and double exponential distribution. Unlike other studies, we find that the day‐of‐the‐week effect in both mean and conditional volatility is sensitive to the particular specification of the underlying distributions. We also find that using a regression analysis assuming a Student's t distribution is a better way to investigate this effect. Our evidence demonstrates the apparent fragility of previous empirical studies on calendar anomalies. Thus, our results serve as a warning that with financial data, the error distributional assumptions are critical to correctly identifying empirical regularities in the data.

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“…Singapore and many other Asian countries have been covered by Brooks and Persand (2001), Al-Loughani and Chappell (2001), Chandra (2004), Lian and Chen (2004) and Nath and Dalvi (2005), Aggrawal and Rivoli (1989), Balaban (1995) and Choudhry (2000). Some of them specifically have recognized the low and negative average return in Monday and positive and higher mean return in Friday.…”

Section: Literature Reviewmentioning

confidence: 99%

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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Modelling the day-of-the-week effect in the Kuwait Stock Exchange: a nonlinear GARCH representation

Abstract: The Kuwait stock exchange index is examined for evidence of a day-of-the-week effect. A nonlinear GARCH(1,1) model provides a good explanation of the data and allows identification and modelling of the day-of-the-week effect.

Cited by 43 publications

References 24 publications

The day-of-the-week effect in the Athens Stock Exchange (ASE)

The day-of-the-week effect in the Athens Stock Exchange (ASE)

The day‐of‐the‐week effect and conditional volatility: Sensitivity of error distributional assumptions

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

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