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

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 significantly different from each other and validates the day-of-theweek effect in TADAWUL.

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

“…This indicates that stock returns are not evenly distributed across the days of the week. They are consistent with the results observed in several international markets such as those of French (1980), Aggrawal and Rivoli (1989) Barbee, Jeong and Mukherji (2008) Tripathy (2010) and Ulussever et al (2011) according to which the average return on Mondays is significantly less than the average of the other days of the week.…”

“…However, observations in the international market context (see Cross (1973) and French (1980) for the US market, Jaffe and Westerfield (1985) for the Japanese and the Australian markets, Syed and Sadorsky, 2006 for the context of emerging markets, Agathee (2008) for the Mauritius market, Ulussever, Guranyumusak and Kar (2011) for the Saudi Arabian market) show that significant variances in assets returns are associated with the unit of time. The day-of-the-week effect is especially common and can be observed in the majority of the aforementioned markets.…”

Intraday return volatility in Saudi Stock Market: An evidence from Tadawul All Share Index

“…Arouri (2013) examined the spillover effects between global oil prices and Saudi stock market in terms of risk and return, and reported that the spillovers in Saudi stock sectors are due to shocks rather than volatility. Ulussever et al (2011) studied the day-of-the week effect of Tadawul stocks with the help of non-linear GARCH, and found mean daily returns different from each other, hence validating the day-of-the week effect. Abdalla and Idris (2013) investigated the volatility spillovers between return and exchange rate in Saudi Arabian and Egyptian stock markets.…”

Como o volume de negociação reage ao sentimento do investidor?

“…Alguns estudos mediram a confiança do investidor com base no impacto do preço das ações no volume de negociação (Boynton, Oppenheimer & Reid, 2009;Ulussever, Yumusak & Kar, 2011;Dhaoui et al 2013), onde uma reação positiva no volume de negociação parece ser um efeito de excesso de confiança, e uma resposta negativa, resultado de um impacto insuficiente da confiança (Dhaoui & Bacha, 2017). Dessa forma, investidores com confiança excessiva tendem a subestimar sua exposição a riscos agindo de forma agressiva e aumentando seu volume de negociação.…”