Seasonalities in Stock Markets: The Day of the Week Effect

Drogalas, George; Athianos, Stergios; Bakas, George

doi:10.2139/ssrn.2515097

Cited by 6 publications

(4 citation statements)

References 24 publications

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“…The assumption of investor rationality is challenged by the increasing number of studies investigating the presence of anomalies in stock markets. Seasonality in stock markets in the form of important calendar anomalies such as the January effect, the day of the week effect and the holiday effect (Drogalas et al , 2007) have been shown to exist. Studies carried out by Drogalas et al (2007), Lakonishok and Smidt (1988), Ariel (1990), Dodd and Gakhovich (2011) and Cadsby and Ratner (1992), among others, conclude that stock returns tend to increase prior to public holidays compared to other trading days.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Seasonality in stock markets in the form of important calendar anomalies such as the January effect, the day of the week effect and the holiday effect (Drogalas et al , 2007) have been shown to exist. Studies carried out by Drogalas et al (2007), Lakonishok and Smidt (1988), Ariel (1990), Dodd and Gakhovich (2011) and Cadsby and Ratner (1992), among others, conclude that stock returns tend to increase prior to public holidays compared to other trading days. There is consistent evidence in these studies that investors’ moods are affected by the holidays implying that investors do not always behave in a rational and predictable manner but are in fact influenced by certain biases and/or cognitive heuristics.…”

Section: Literature Reviewmentioning

confidence: 99%

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Mood, religious experience and the Ramadan effect

Wasiuzzaman

Al-Musehel

2018

IJOEM

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Purpose The purpose of this paper is to focus on the influence of mood/emotions and religious experience on Islamic stock markets during the Ramadan month. Design/methodology/approach This study uses stock returns data of two countries – Saudi Arabia and Iran – from January 2008 to September 2014 and the ARMA-GARCH models to study impact of the Ramadan month on the return and volatility of the stock market in these two countries. Findings The results of this study show some differences in the impact of the Ramadan month on the return and volatility of the stock market in these two countries. While the Ramadan month has a significant positive influence on the mean returns and the volatility of the Saudi market, its influence on the Iranian market is found to be insignificant. Further analysis on the last ten days of the Ramadan month provides a similar result for the Saudi market. However, for the Iranian market, volatility is significantly negatively affected during these last ten days. Originality/value Most prior studies have found significant changes in returns during the Ramadan month but a deeper understanding of this stock market anomaly is needed. The results point toward the influence of mood/emotions and religious experience in explaining the existence of the Ramadan anomaly.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Mood, religious experience and the Ramadan effect

Wasiuzzaman

Al-Musehel

2018

IJOEM

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“…2 We have provided in the appendix useful definitions of some keywords that are peculiar to Nigeria. 3 See Drogalas et al [29], Narayan et al [10] and Salisu et al [20], among others, for some useful explanations of accounting for possible differing effects during the days of the week.…”

Section: Index Constructionmentioning

confidence: 99%

Constructing Geopolitical Risk Index for Nigeria

Salisu,

Salisu

2023

Preprint

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“…This is an important feature of daily frequency variables that connect with investors and practitioners which has to be incorporated into the construction of the index to make it more realistic (see for example,Narayan, Iyke, and Sharma, 2021). This phenomenon has been largely validated in the finance literature where it is assumed that the same information may have differing effects during the days of the week as the average daily return of the market is not the same for all the days of the week (seeDrogalas et al, 2007).…”

mentioning

confidence: 99%