Day of the Week Effect in the Stock Markets of Fragile Five Countries After 2008 Global Financial Crisis

Akbalik, Murat; Özkan, Nasıf

doi:10.1007/978-3-319-47021-4_35

Cited by 8 publications

(12 citation statements)

References 36 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The results show variation and sensitivity in the dayof-the-week effect with econometric models. Similar results are obtained from multiple studies (Akbalik & Ozkan, 2017;Huang et al, 2010;Hussain et al, 2011;Kambal et al, 2018;Lai et al, 2012;Shah & Abdullah, 2015). The variation in trading volume has also been observed previously.…”

Section: Conclusion and Discussionsupporting

confidence: 88%

“…Apart from GARCH, the bulk of literature also approves the use of the non-parametric test to gauge the day-of-the-week effect in returns. The most common technique employed is Kruskal-Wallis test that is applicable on the data violating the assumption of normality (Akbalik & Ozkan, 2017;Hla et al, 2015). It is computed as…”

Section: Methodology and Datamentioning

confidence: 99%

“…Gbeda and Peprah (2018) explore the day‐of‐the‐week effect in Nairobi Stock Exchange, Adaramola and Adekanmbi (2020) find the day‐of‐the‐week effect in Nigeria. Akbalik and Ozkan (2017) find the day‐of‐the‐week effect in Indonesia. Furthermore, Paital and Panda (2018) approve the existence of the day‐of‐the‐week effect in India that is in contrast with the findings of Akbalik and Ozkan (2017).…”

Section: Introductionmentioning

confidence: 99%

“…Akbalik and Ozkan (2017) find the day‐of‐the‐week effect in Indonesia. Furthermore, Paital and Panda (2018) approve the existence of the day‐of‐the‐week effect in India that is in contrast with the findings of Akbalik and Ozkan (2017). Likewise, Chancharat, Maporn, Phuensane, and Chancharat (2018) discover anomalies in market returns in Thailand.…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†

et al. 2021

View full text Add to dashboard Cite

In the second half of the 20th century, it was observed that weekday‐of‐Monday generate significantly lower returns than other days of the week. Literature has shown that the day effect exists on weekdays of the week, which is different from this day Monday. This study investigates day‐of‐the‐week effect in returns and volume of stock in emerging Asian markets by using ordinary least square regression (OLS), generalized autoregressive conditional heteroscedasticity (GARCH) (1, 1) and Kruskal‐Wallis test. The data are obtained from Thomson Reuters from July 2013 to March 2019 for the market indices and volume. The OLS and GARCH (1, 1) are employed through Eviews, while Kruskal‐Wallis test is used through SPSS. The results show a significant day‐of‐the‐week effect in returns in China, South Korea, Taiwan, Thailand, Indonesia and Pakistan. On the other hand, no significant day‐of‐the‐week effect in returns is revealed in India and Malaysia. Furthermore, significant differences in traded volume on different days are also observed in all markets except for Malaysia, where Monday is the least traded day in most markets. No evidence for co‐occurrence of day‐of‐the‐week effect in returns and volume is observed. The findings affirm inconsistency in the day‐of‐the‐week effect.

show abstract

Section: Conclusion and Discussionsupporting

confidence: 88%

Section: Methodology and Datamentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†

et al. 2021

View full text Add to dashboard Cite

show abstract

“…on emerging markets to test this trading anomaly (e.g., Akbalik & Ozkan, 2017). The results in the paper exhibits a strong Weekend Effect in equal-weighted index, whereas no Weekend Effect is observed for value-weighted index during January 1994 through December 2007 sample period.…”

mentioning

confidence: 69%

Impact of firm size on the Weekend effect: The Australian Stock Exchange evidence

Sharif

2019

JISR-MSSE

View full text Add to dashboard Cite

documents a strong Weekend effect in equal-weighted index and small firms before the Global Financial Crises (GFC). That is, as the size of the business increases the Weekend effect starts to dissipate due to significantly negative Monday returns for small-capitalized firms and significantly positive Monday returns for large-capitalized firms. On the other hand, during and after the GFC period, from January 2008 to September 2018, this study finds strong Weekend effect in large capitalized stocks and weakly significant effect in small capitalized stocks. Hence, the evidence suggests that Weekend effect still persist for Australian securities, but have shifted from smaller stocks to larger stocks. Moreover, this study finds absence of Weekend effect in equal-and value-weighted indices in the 10-year recent data. Therefore, investing in stock index futures contracts would not yield better returns due to diminishing of Weekend effect anomaly in indices

show abstract

Revisiting the monday effect: a replication study for the German stock market

2019

View full text Add to dashboard Cite

Day of the Week Effect in the Stock Markets of Fragile Five Countries After 2008 Global Financial Crisis

Cited by 8 publications

References 36 publications

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†

Impact of firm size on the Weekend effect: The Australian Stock Exchange evidence

Revisiting the monday effect: a replication study for the German stock market

Contact Info

Product

Resources

About

Day of the Week Effect in the Stock Markets of Fragile Five Countries After 2008 Global Financial Crisis

Cited by 8 publications

References 36 publications

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia†

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia†

Impact of firm size on the Weekend effect: The Australian Stock Exchange evidence

Revisiting the monday effect: a replication study for the German stock market

Contact Info

Product

Resources

About

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†