Day-of-the-week effect: Evidence from the nine economic sectors of the JSE

Mbululu, Douglas; Chipeta, Chimwemwe

doi:10.1080/10293523.2012.11082544

Cited by 16 publications

(22 citation statements)

References 31 publications

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“…Brusa and Liu (2004) found the traditional weekend effect to be present in the US market, but that it reversed between 1988 and 1998. More recently, Mlambo and Biekpe (2006), Alagidede (2008), Mbululu and Chipeta (2012), Darrat et al (2013) and Plimsoll et al (2013) all confirm the presence of limited and spurious day-of-the week effects on the indices of different African stock markets. However, because results differ across industries, stock markets, and periods, no definitive conclusion about the presence of any such effects can be confirmed.…”

Section: Literaturementioning

confidence: 78%

“…Because of inconsistent results in research on the day-of-the-week effect, Mbululu and Chipeta (2012) suggested that the scope of these studies should be narrowed down and evaluated over the same sample period to effectively determine and compare the existence of the effect. The purpose of the present study is thus to also investigate the day-of-the-week effect on the different indices of the JSE for the period 4 July 1995 to 16 March 2016, but with a different statistical technique from what was used by Mbululu and Chipeta (2012). Few previous studies on the day-of-the-week effect observed the effect at micro-level for separate industries or made use of ARCH and GARCH models.…”

Section: Introductionmentioning

confidence: 99%

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The day-of-the-week effect: South African stock market indices

Toit

Hall

Pradhan

2018

AJEMS

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Purpose The presence of a day-of-the-week effect has been investigated by many researchers over many years, using a variety of financial data and methods. However, differences in methodology between studies could have led to conflicting results. The purpose of this paper is to expand on an existing study to observe whether an analysis of the same data set with some added years and using a different statistical technique provide the same results. Design/methodology/approach The study examines the presence of a day-of-the-week effect on the Johannesburg Stock Exchange (JSE) indices for the period March 1995-2016, using a GARCH model. Findings The findings show that, contrary to the original study, the day-of-the week effect is present in both volatility and return equations. The highest and lowest returns are observed on Monday and Friday, respectively, while volatility is observed on all five days from Monday to Friday. Originality/value This study adds to the existing literature on day-of-the-week effect of JSE indices, where different patterns or, in some cases, no pattern have been noted. Few previous studies on the day-of-the-week effect observed the effect at micro-level for separate industries or made use of a GARCH model. The present study thus expands on the study of Mbululu and Chipeta (2012), by adding four additional observation years and using a different statistical technique, to observe differences that arise from a different time period and statistical technique. The results indicate that a day-of-the-week effect is mostly a function of the statistical technique applied.

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Section: Literaturementioning

confidence: 78%

Section: Introductionmentioning

confidence: 99%

The day-of-the-week effect: South African stock market indices

Toit

Hall

Pradhan

2018

AJEMS

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“…Gbeda and Peprah [6] found evidence of significant Friday effects on return for Nairobi Stock Exchange. Studies such as: Gregoriou et al [7] in UK and Aly et al [8] in Egypt, Mbululu and Chipeta [9] in Australia and Gbeda and Peprah [6] in Ghana reported no evidence of day and weekend effects in their respective markets. Interms of volatility, Kiymaz and Berument [10] found Monday is highly volatile day for Japan and Germany, Thursday for UK and Friday for USA and Canada.…”

Section: Introductionmentioning

confidence: 99%

Day of the Week and Weekend Effects in the Indian Stock Market

Paital¹,

Panda²

2018

TEL

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The present study has investigated the day of the week and weekend effect on index returns and it's volatility in the Indian stock market using GARCH (1, 1) for Nifty 50, Nifty midcap 50 and Nifty smallcap 50 indices. The study period starts from 1 st April, 2005 to 29 th June, 2018. This study found a strong evidence of a positive weekend effect as well as a negative Tuesday effect across all the 3 indices. It is observed that the returns on Tuesday are lower than the returns on Monday. The study also found a positive weekend effect (except Nifty 50) as well as a negative Tuesday effect on return volatility for all these 3 indices. Like return, it is also observed that market is less volatile in Tuesday than Monday. In addition to this, the present study also revealed a negative Thursday effect on return (except Nifty 50) as well as a negative Friday effect on return for Nifty smallcap index only. It is concluded that Monday is a high risk and high return day whereas, Tuesday is a low risk and low return day in comparison to Monday. If traders can take higher risk they can earn higher return on Monday. The overall findings of the study suggest that the Indian market is not efficient and market can be predictable based on historical series. The findings of this study is valuable to both academicians as well as the market participants.

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“…This provides four years of data for the pre and post periods which makes them roughly even. Though the seizure in the banking system was precipitated by the actions of BNP Paribas on 9 August, 2007, we allow a few month lag before its impact spreads, as indicated in The methodology used is based on the work of Mbululu & Chipeta (2012) and was previously outlined and suggested by Tang (1996). Daily stock market returns are calculated as percentage changes for the entire period under study for each market.…”

Section: Methodsmentioning

confidence: 99%

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

Kalidas

Mbululu

Chipeta

2013

IBER

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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 in terms of highest/lowest mean returns. This paper presents new policy implications and research suggestions on the day-of-the-week patterns.Keywords: Day-Of-The Week Effect; Stock Market Returns; Kolmogorov-Smirnov Test INTRODUCTIONhe efficient market hypothesis suggests that security prices reflect all known information about a share or market at a particular point in time. This implies that one cannot consistently achieve a return greater than the average return on a given market after adjusting for the effects of risk. Thus, there should be no systematic way of investing on specific days to achieve higher returns. However, the day-of-theweek effect, which is characterised by each day exhibiting a unique expected return or movement pattern, contradicts this assumption.The day-of-the-week effect has been extensively studied across both developed and emerging markets. Studies such as Hess (1981), Keim and Stambaugh (1984), Solnik and Bousquet (1990), Basher and Sadorsky (2006) and Enowbi, Guidi, and Mlambo (2009), to name but a few, demonstrate that the distribution of returns and volatility on many indicators of stock market pricing are not normally distributed across the days of the week. Three distinct categories of market effects exist. These include the Monday effect whereby Monday exhibits the lowest returns for the week, the weekend effect which studies the differences between Monday and Friday patterns in isolation, and finally, the day-of-the-week effect which exhibits a unique expected return or movement pattern for each trading day.The idea that these anomalies do not remain fixed over time is not unique either. Doyle and Chen (2009) coined the idea of changing patterns of the day-of-the-week as "seasonal flux". It appears, however, that the testing of this "flux" has not been conducted on African markets. Most previous studies on the day-of-the-week effect have examined extensive periods of financial data and sought to find a singular pattern in returns which spans these periods. For instance, Yalcin and Yucel (2006) and Dicle and Levendis (2010) argue that the findings from the dayof-the-week studies can be used by investors to reap returns by buying shares at a low price on Monday and selling at a high price on Friday. This pattern could have changed over time because of at least two reasons. Firstly, African stock markets such as Nigeria, Zambia, and South Africa are growing rapidly and secondly, the global financial crisis of 2007/2008 could have altered trading patterns and returns on the stock exchanges of Africa. It has been T

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Day-of-the-week effect: Evidence from the nine economic sectors of the JSE

Cited by 16 publications

References 31 publications

The day-of-the-week effect: South African stock market indices

The day-of-the-week effect: South African stock market indices

Day of the Week and Weekend Effects in the Indian Stock Market

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

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