scholarly journals The day of the week effect on stock market volatility

2001 ◽  
Vol 25 (2) ◽  
pp. 181-193 ◽  
Author(s):  
Hakan Berument ◽  
Halil Kiymaz
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Day Of The Week

Day Of The Week And Its Effect On Stock Market Volatility: Evidence From An Emerging Market

2013 ◽  
Vol 29 (6) ◽  
pp. 1727 ◽  
Author(s):  
Omar Farooq ◽  
Mohammed Bouaddi ◽  
Neveen Ahmed
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Emerging Market ◽  
International Markets ◽  
Conditional Variance ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Foreign Investors ◽  
High Volatility ◽  
Day Of The Week

This paper investigates the day of the week effect in the volatility of the Saudi Stock Exchange during the period between January 7, 2007 and April 1, 2013. Using a conditional variance framework, we find that the day of the week effect is present in the volatility. Our results show that the lowest volatility occurs on Saturdays and Sundays. We argue that due to the closure of international markets on Saturdays and Sundays, there is not enough activity in the Saudi Stock Exchange. As a result, the volatility is the lowest on these days. Our results also show that the highest volatility occurs on Wednesdays. We argue Wednesday, being the last trading day of the week, corresponds with the start of four non-trading days (Thursday through Sunday) for foreign investors. Fearing that they will be stuck up with stocks in case some unfavorable information enters the market, foreign investors tend to exit the market on Wednesdays. As a result of excessive trading, there is high volatility on Wednesdays.

Estimating Emerging Stock Market Volatility Using Garch Family Models

2011 ◽  
Vol 3 (9) ◽  
pp. 331-333 ◽  
Author(s):  
Ramona Birău ◽  
◽  
Jatin Trivedi
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Family Models

scholarly journals Volatility Modeling: An Overview of Equity Markets in the Euro Area during COVID-19 Pandemic

Mathematics ◽  
2021 ◽  
Vol 9 (11) ◽  
pp. 1212
Author(s):  
Pierdomenico Duttilo ◽  
Stefano Antonio Gattone ◽  
Tonio Di Di Battista
Keyword(s):  
Stock Market ◽  
Euro Area ◽  
Risk Premium ◽  
Stock Markets ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Volatility Modeling ◽  
The Impact ◽  
Second Wave ◽  
Daily Returns

Volatility is the most widespread measure of risk. Volatility modeling allows investors to capture potential losses and investment opportunities. This work aims to examine the impact of the two waves of COVID-19 infections on the return and volatility of the stock market indices of the euro area countries. The study also focuses on other important aspects such as time-varying risk premium and leverage effect. This investigation employed the Threshold GARCH(1,1)-in-Mean model with exogenous dummy variables. Daily returns of the euro area stock markets indices from 4th January 2016 to 31st December 2020 has been used for the analysis. The results reveal that euro area stock markets respond differently to the COVID-19 pandemic. Specifically, the first wave of COVID-19 infections had a notable impact on stock market volatility of euro area countries with middle-large financial centres while the second wave had a significant impact only on stock market volatility of Belgium.

Stock Market Volatility and Terrorism: New Evidence from the Markov Switching Model

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Faheem Aslam ◽  
Hyoung-Goo Kang ◽  
Khurrum Shahzad Mughal ◽  
Tahir Mumtaz Awan ◽  
Yasir Tariq Mohmand
Keyword(s):  
Stock Market ◽  
Significant Risk ◽  
Market Volatility ◽  
Terrorist Attacks ◽  
Stock Market Volatility ◽  
Markov Switching Model ◽  
Physical Damage ◽  
Stock Market Returns ◽  
Switching Model ◽  
The Impact

AbstractTerrorism in Pakistan poses a significant risk towards the lives of people by violent destruction and physical damage. In addition to human loss, such catastrophic activities also affect the financial markets. The purpose of this study is to examine the impact of terrorism on the volatility of the Pakistan stock market. The financial impact of 339 terrorist attacks for a period of 18 years (2000–2018) is estimated w.r.t. target type, days of the week, and surprise factor. Three important macroeconomic variables namely exchange rate, gold, and oil were also considered. The findings of the EGARCH (1, 1) model revealed that the terrorist attacks targeting the security forces and commercial facilities significantly increased the stock market volatility. The significant impact of terrorist attacks on Monday, Tuesday, and Thursday confirms the overreaction of investors to terrorist news. Furthermore, the results confirmed the negative linkage between the surprise factor and stock market returns. The findings of this study have significant implications for investors and policymakers.

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