The Day-of-the-Week Effect in the Saudi Stock Exchange: A Non-Linear Garch Analysis

ULUSSEVER , Talat and GURAN YUMUSAK, Ibrahim and KAR, Muhsin (2011) The Day-of-the-Week Effect in the Saudi Stock Exchange: A Non-Linear Garch Analysis. Journal of Economic and Social Studies, 1 (1). pp. 9-23. ISSN 1986 – 8502

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Abstract

It is a well-known fact that the day-of-the-week effect in stock markets is one of the most prominent puzzling seasonal anomalies in finance and has been increasingly attracting attention from researchers and practitioners, as well as academics. This paper scrutinizes the day-of-theweek effect in the emerging equity market of Saudi Arabia, TADAWUL. By using a non-linear GARCH model and covering the data from January 2001 to December 2009, the findings of the study reveal that the returns on the five trading days follow different process. This confirms that mean daily returns are ignificantly different from each other and validates the day-of-the-week effect in TADAWUL.

Item Type: Article
Uncontrolled Keywords: Day of the week effect; GARCH; Saudi stock exchange
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Depositing User: Mr. Fatih Ozturk
Date Deposited: 21 Jun 2012 14:28
Last Modified: 21 Jun 2012 14:28
URI: http://eprints.ibu.edu.ba/id/eprint/1051

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