Stock Return and Trading Volume Distribution across the Day-of-the-week: Evidence from the Japanese Stock Market

DHAOUI, Abderrazak and FARHANI, Ramzi and GARFATTA, Riadh (2012) Stock Return and Trading Volume Distribution across the Day-of-the-week: Evidence from the Japanese Stock Market. Journal of Economic and Social Studies, 2 (1). pp. 51-68. ISSN 1986 – 8502

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Abstract

In this paper, we examine the behavior of stock returns and trading volume across the-day-of-the-week in the context of the Japanese Market. Several hypotheses are used to explain the day-of-the-week effect. Results indicate that Mondays have abnormal losses and low trading volume. Over other days the returns and the trading volume increase significantly once the market thickens, prices become more informative and the information effect diminishes. Our results do not support the outliers’ hypothesis, the half-of-the-month hypothesis and the autocorrelation hypothesis. They are, however, consistent with the adverse selection and the overconfidence hypotheses.

Item Type: Article
Uncontrolled Keywords: Stock Return, Trading Volume, Day-of-the-week, half-of-the-month, overconfidence, Japanese market.
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Depositing User: Mr. Ibrahim Kinal
Date Deposited: 25 Jun 2012 08:23
Last Modified: 31 Jan 2013 10:24
URI: http://eprints.ibu.edu.ba/id/eprint/1065

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