Analyzing the Existence of the Day of the Week Effect in Selected Emerging Country Stock Exchanges

2014 ◽  
Vol 1 (2) ◽  
pp. 33-43
Author(s):  
Murat Çinko ◽  
Emin Avci ◽  
Aslı Aybars ◽  
Mehtap Öner
Keyword(s):  
South Africa ◽  
Stock Markets ◽  
Stock Exchanges ◽  
Emerging Stock Markets ◽  
Emerging Country ◽  
Day Of The Week ◽  
Calendar Anomalies ◽  
Observation Period

Calendar anomalies, specifically Day of the Week (DoW) effect, have attracted considerable attention by academicians and practitioners during the last decades. This study investigates the existence of DoW effect in 13 emerging stock markets by utilizing an observation period of 12 years. Whereas the findings of the study reveal the presence of negative Monday effects for Indonesia, Malaysia, and Thailand; positive Monday returns are found in South Africa contrary to expectations. Furthermore; positive Friday returns are observed in 9 of the markets belonging to Argentina, Brazil, Bulgaria, Indonesia, Malaysia, Romania, Thailand, Tunisia, and Turkey. Additional results document the presence of positive Wednesday and Thursday returns for most of the markets analyzed.

scholarly journals Changing Patterns In The Day-Of-The-Week Effects In African Stock Markets

2013 ◽  
Vol 12 (10) ◽  
pp. 1157 ◽  
Author(s):  
Shakeel Kalidas ◽  
Douglas Mbululu ◽  
Chimwemwe Chipeta
Keyword(s):  
South Africa ◽  
Financial Crisis ◽  
Stock Markets ◽  
Policy Implications ◽  
Seasonal Patterns ◽  
Direct Test ◽  
Changing Patterns ◽  
Day Of The Week ◽  
Over Time ◽  
Skewness And Kurtosis

The changing patterns in returns on African stock markets have not been adequately documented. This paper addresses this gap by testing for the day-of-the-week effect and the changes in the patterns of returns for several African stock markets. A direct test on skewness and kurtosis is used to capture higher statistical moments in the search for seasonal patterns in returns. Daily index data for South Africa, Zambia, Botswana, Nigeria, and Morocco are used for the period 2004 to 2012. Day-of-the-week effects are documented for all the countries with the exception of South Africa. Furthermore, significant changes in patterns over time are observed for these same countries. Each day in the pre-financial crisis period shows significantly different patterns to every other day in post-crisis epoch. Further, the patterns displayed amongst the countries with significant results are largely similar in terms of highest/lowest mean returns. This paper presents new policy implications and research suggestions on the day-of-the-week patterns.

Day-of-the-week effects in emerging stock markets

2006 ◽  
Vol 13 (10) ◽  
pp. 621-628 ◽  
Author(s):  
Syed A. Basher ◽  
Perry Sadorsky
Keyword(s):  
Stock Markets ◽  
Emerging Stock Markets ◽  
Day Of The Week

Do Stock Markets Comove in Emerging Economies?

2017 ◽  
pp. 197-213
Author(s):  
Sadullah Çelik ◽  
Emel Baydan
Keyword(s):  
South Africa ◽  
Emerging Markets ◽  
Financial Markets ◽  
Emerging Economies ◽  
Stock Markets ◽  
High Concentration ◽  
Foreign Investors ◽  
Market Participants ◽  
Emerging Stock Markets ◽  
Unconventional Methods

Great Recession has brought the need to model and assess the financial markets with unconventional approaches. The nature of consumer behavior in financial markets has become crucial as real and financial sector comoving overtime was a dream of no rationality. The union of consumers looking for higher wealth and speculative stock market participants was not a sustainable case. But, what happened to the consumers/investors in emerging economies? This chapter assesses the behavior of emerging stock markets during the turmoil using weekly data for Brazil, China, India, Indonesia, Russia, South Africa and Turkey with US as the benchmark for January 2003–March 2014. Two unconventional methods are used for checking asymmetric contagion; the wavelet comovement and frequency domain causality. The findings show that markets with rather high concentration of foreign investors are highly affected but consumers were not due to smaller participation. The asymmetric contagion argument is verified for some emerging markets as consumers/investors suffered as much as any other market participant.

Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets

1989 ◽  
Vol 24 (4) ◽  
pp. 541-550 ◽  
Author(s):  
Reena Aggarwal ◽  
Pietra Rivoli
Keyword(s):  
Stock Markets ◽  
Emerging Stock Markets ◽  
Day Of The Week

The day of the week effects in stock markets of countries with predominantly Muslim populations

2020 ◽  
Vol 13 (2) ◽  
pp. 195-218
Author(s):  
Bengü Yardımcı ◽  
Sabri Erdem
Keyword(s):  
Stock Markets ◽  
Arab Countries ◽  
Stock Exchanges ◽  
Muslim Country ◽  
Geographic Proximity ◽  
Muslim Population ◽  
Content Type ◽  
Factors Affecting ◽  
Day Of The Week ◽  
Descriptive Statistical Analysis

Purpose The purpose of this paper is to investigate the day of the week (DoW) effect in stock markets of 19 countries with a predominantly Muslim population over the world. Design/methodology/approach The empirical research was conducted by using the descriptive statistical analysis and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) method in 19 stock markets for the past decade. Findings The findings in this paper present the evidence of the DoW effect in the majority of the stock markets analyzed. The findings were also consistent with the results of some previous studies regarding the DoW effect in various countries but some were found to be surprisingly different. Research limitations/implications This study puts forward the view that investors may consider DoW diversities for their investment decisions regarding the countries with predominantly Muslim population. The authors conclude that additional factors affecting Islamic countries’ stock markets such as geographic proximity, trading days, market capitalization and ethnicity should be considered as well. Originality/value Researchers have shown an increased interest in calendar anomalies in stock exchanges of some individual Arab countries. This study contributes to the literature by examining Muslim country stock markets collectively.

Local Return Factors and Turnover in Emerging Stock Markets

CFA Digest ◽  
2000 ◽  
Vol 30 (1) ◽  
pp. 15-16
Author(s):  
S. Brooks Marshall
Keyword(s):  
Stock Markets ◽  
Emerging Stock Markets ◽  
Return Factors
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