Download or read book An Analysis of Day of The Week Effects in the Egyptian Stock Market written by Hassan Youssef Aly and published by . This book was released on 2004 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates daily stock market anomalies in the Egyptian stock market using its major stock index, the Capital Market Authority Index (CMA), to shed some light on the degree of market efficiency in an emerging capital market with a four-day trading week. The results indicate that Monday returns in the Egyptian stock market are positive and significant on average, but are not significantly different from returns of the rest of the week. Thus, no evidence was uncovered to support any daily seasonal patterns in the Egyptian stock market, indicating that stock market returns are consistent with the weak form of market efficiency. These results should be interpreted with caution since the Egyptian stock market has only a limited number of stocks that are actively traded.
Download or read book Day of the week and Size Effects on the Egyptian Stock Market written by Waiel Faheem and published by . This book was released on 1998 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Day of the Week Effect of Stock Returns written by Sedeaq Nassar and published by . This book was released on 2018 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the presence of one of the prominent anomalies which is the day of the week effect anomaly in five of Arab stock exchanges which are (Qatar, Amman, Palestine, Egypt, and Bahrain stock exchanges) cover the period from May 2010 to April 2014. By using one-way analysis of variance (ANOVA) analysis and Post Hoc Tests, the study indicates that there is no existence of the day of the week effect in each of (Qatar, Amman, Egypt, and Bahrain stock exchange) while it is presence in Palestine stock exchange where the lowest return is in Sunday (the first trading day of the week) and the highest return is in Tuesday.
Download or read book Does the Egyptian Stock Exchange Still Have a Day End Effect written by Eskandar A. Tooma and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper utilizes both parametric and nonparametric analysis to test whether the introduction of a volume weighted average price (VWAP) mechanism for closing a trading session on the Cairo and Alexandria Stock Exchange (CASE) has eliminated the day-end phenomenon or not. Results provide evidence that: (1) the day-end effect is still present and significant on the CASE; (2) the effect is significantly larger for stocks that are restricted by 5% price limits; and (3) counter to U.S. market data the effect is significantly higher for high-price stocks.
Download or read book The Egyptian Stock Market written by Mr.Mauro Mecagni and published by International Monetary Fund. This book was released on 1999-04-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper examines the behavior of stock returns in the Egyptian stock exchange, the efficiency of the market in pricing securities, and the relationship between returns and conditional volatility. GARCH(p,q)-M models estimated for the four best known daily indices indicate significant departures from the efficient market hypothesis; the tendency for returns to exhibit volatility clustering; and a significant positive link between risk and returns, which was significantly affected during the market downturn that followed the introduction of circuit breakers in the form of symmetric price limits on individual shares.
Download or read book Stock Market Anomalies in Emerging Markets Some Evidence From Egypt written by Ahmed A. El-Masry and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The study investigates the existence of four well-known anomalies; day of the week, January effect, size effect and value effects. In addition it also examines the robustness of the factor model provided by Fama and French (1992). Using two local indices the study has reported the existence of the weekday effect and January effect during the period 1998-2006. For the size and value effects, interestingly it has been found that big high book-to-market equity firms outperform its small low book-to-market counterparts and the three factor model can largely explain the stock market variations over the period of 2001-2006. Moreover, our possible explanation is that the weekday effect is due to psychological factors of traders and reformulation of their portfolios. However the January effect is attributed to the behaviour of institutional investors and the release of financial statements at the end of the year. Nevertheless, the size and value effects can be attributed to the irrational behaviour of individual investors in the Egyptian stock market.
Download or read book The Day of the Week Effect written by Marc Häfliger and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This master thesis examines the day-of-the-week effect. The day-of-the-week effect is a stock market anomaly which challenges the Efficient Market Hypothesis, because in an efficient market the returns should be evenly distributed across the weekdays. This comprehensive analysis looks at the day-of-the-week effect from three different points of view: international evidence, size effect and market environment. To test the significance of the results, the Kruskal-Wallis test was applied. The analysis of 26 stock market indices from 1990 to 2011 and two sub-periods (1990-2000 and 2001-2011) gave evidence that the effect still existed in some countries, but diminished over time and was stronger for emerging stock markets. A significant day-of-the-week effect for all three periods analyzed was detected in Chile, Indonesia, Malaysia, the Philippines, Thailand and Turkey. The test of the size effect showed that the day-of-the-week effect was stronger for indices with lower capitalized stocks. In addition, this study found evidence that the day-of-the-week effect was more pronounced during times of low implied volatility, however, the results were not significant.
Download or read book Day of the Week Effects in NSE Stock Returns written by Varun Arora and published by . This book was released on 2008 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: The presence of the seasonal or monthly effect in stock returns has been reported in several developed and emerging stock markets. This study investigates the existence of seasonality in India's stock market, primarily trying to detect the quot;Day of the Week Effectquot; in the Stocks listed on the National Stock Exchange. It covers the post-reform period. The study uses the Daily return data of the stocks listed on National Stock Exchange and Bombay Stock Exchange Index for the period from November 1994 to September 2007 for analysis. After examining the stationarity of the return series, by applying quot;Kruskal Wallisquot; test and quot;One Way Anovaquot; i.e. using both Parametric and Non Parametric Tests, we specify an Augmented Dummy Regressive model to find the Day of the week effect monthly effect in stock returns in India. Another feature of our study was that we analysed the day of the week effect in three different phases of market ie. quot;Consolidationquot; Phase, quot;Bearishquot; Phase and the quot;Bullishquot; Phase. This was carried with an intention to see whether the day of the week effect was visible in these specific market phases or not. The results confirm the existence of seasonality (in the form of Day of the Week Effect) stock returns in India for 66 Stocks spanning across various sectors that we analysed - The results of the study imply that the stock market in India is inefficient, and hence, investors can time their share investments to improve returns and make abnormal profits. However the Day of the Week effect was found to be absent in the Bullish as well as the Bearish phase, which was a departure from our previous belief of the existence of this effect in all phases of the market.
Download or read book Day of the Week Effect written by John Okey Onoh and published by . This book was released on 2016 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is well documented that expected stock returns vary with the day of the week in developed stock markets as well as in emerging stock markets. The evidence of this seasonal pattern has, however, been very scanty in the case of Nigeria. The research therefore investigates the presence of the day of the week in the Nigerian Stock Exchange. The Ordinary Least Square method was used to analyze the stock returns pattern for a period ranging from 2nd January 2009 to 31st December 2015. Results obtained from the study shows that Friday returns is significantly higher than returns of other days of the week. This finding confirms the existence of the day of the week effect in the NSE daily return.
Download or read book The Day of the Week Effect on Stock Market Volatility written by Hakan Berument and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study tests the presence of the day of the week effect on stock market volatility by using the S&P 500 market index during the period of January 1973 and October 1997. The findings show that the day of the week effect is present in both volatility and return equations. While the highest and lowest returns are observed on Wednesday and Monday, the highest and the lowest volatility are observed on Friday and Wednesday, respectively. Further investigation of sub-periods reinforces our findings that the volatility pattern across the days of the week is statistically different.
Download or read book Day of the Week Effect and Stock Returns written by Faryad Hussain and published by . This book was released on 2017 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt: Day of the week effect study is focused as a stock market anomaly on the equity market practices in Pakistan. The modus-operandi applicable in this research consists of daily stock prices concerned to KSE-100 Index, for the period January 2006 to December 2010. The working week for trade matters consist of five days. Study concludes that Tuesday returns are quite significant and positive. Hence it is inferred that there exists day effect in Pakistani stock market. The returns of Tuesday on an average are greater in comparison to rest of the days. The regression analysis is performed to meet the thrust of this study.
Download or read book The Day of the Week Effect on Stock Market Volatility and Volume written by Hakan Berument and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the day of the week effect on the volatility of major stock market indexes for the period of 1988 through 2002. Using a conditional variance framework, we find that the day of the week effect is present in both return and volatility equations. The highest volatility occurs on Mondays for Germany and Japan, on Fridays for Canada and the United States, and on Thursdays for the United Kingdom. For most of the markets, the days with the highest volatility also coincide with that market's lowest trading volume. Thus, this paper supports the argument made by Foster and Viswanathan [Rev. Financ. Stud. 3 (1990) 593] that high volatility would be accompanied by low trading volume because of the unwillingness of liquidity traders to trade in periods of high stock market volatility.
Download or read book Seasonalities in Stock Markets written by George Drogalas and published by . This book was released on 2014 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: Day of the week effect phenomenon is one of the most important calendar anomalies that have been observed in many stock markets in all over the world. This specific phenomenon has been observed and studied by many researchers for many years and as a consequence there are a lot of different results. The present paper aims at examining in a theory level the meaning, the boundaries and the effects of this phenomenon. First of all, we make a short introduction about the day of the week effect phenomenon in general. After that, we present two significant issues: on the one hand the distinction between perfect and imperfect markets, on the other hand the analysis of the efficient market hypothesis. Then we analyze some of the most important calendar anomalies, which have been observed in many stock markets in all over the world and its possible explanations. Finally we analyze more analytically, the day of the week effect phenomenon and its possible explanations.
Download or read book Day of the Week Effect Revisited written by Mehmet F. Dicle and published by . This book was released on 2014 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this study is to determine whether the DOW effect still exists, and to evaluate empirically the explanations of the DOW effect for international equity markets. Evaluating 51 markets in 33 countries for the period between January, 2000 and December, 2007, reveals that the DOW effect persists for a significant proportion of equity markets. Evaluating open-to-close returns, liquidity, size effect and possible spill-over effects, the DOW effect can be explained for almost of all the exchanges. Individual stock analysis, covering 37,631 stocks traded in 51 equity markets shows that a DOW effect in returns exists for a statistically significant proportion of individual stocks in almost all of the markets in the study. Even markets without a market-level DOW effect contain a surprisingly large proportion of stocks with individual-level DOW effects. Interestingly, this proportion is only marginally lower than that which is found in markets with a market-level DOW effect.
Download or read book Market Anomalies in the A S E written by Katerina Lyroudi and published by . This book was released on 2002 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines empirically the day of the week effect anomaly in the Athens Stock Exchange (ASE). This phenomenon is observed in many developed and developing markets, according to the existing literature. The results of the most significant studies and the possible explanations of this anomaly are presented briefly in this paper. For the empirical part of the study, we used closing prices of the Composite Index for the period 03/01/1994-30/12/1999 and for the sub periods 03/01/1994-31/12/1996 and 02/01/1997-30/12/1999. In addition, we used closing prices of the FTSE20 Index for the period 25/07/1997-30/12/1999. Our results indicated that the day of the week effect is strongly observed in the Greek Stock market during the second sub period. However, it is in a different form than the one observed in the other developed capital markets since the negative returns occur on Thursdays instead of Mondays or Tuesdays as it has been observed in most of the other markets.
Download or read book Day of the Week Effect and Market Efficiency Evidence from Indian Equity Market Using High Frequency Data of National Stock Exchange written by Golaka C. Nath and published by . This book was released on 2008 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present study examines empirically the day of the week effect anomaly in the Indian equity market for the period from 1999 to 2003 using both high frequency and end of day data for the benchmark Indian equity market index Samp;P CNX NIFTY. Using robust regression with biweights and dummy variables, the study finds that before introduction of rolling settlement in January 2002, Monday and Friday were significant days. However after the introduction of the rolling settlement, Friday has become significant. This also indicates that Fridays, being the last days of the weeks have become significant after rolling settlement. Mondays were found to have higher standard deviations followed by Fridays. The existence of market inefficiency is clear. The market inefficiency still exists and market is yet to price the risk appropriately.
Download or read book The Day of the Week Effect Patterns on Stock Market Return and Volatility written by Dimitris Kenourgios and published by . This book was released on 2014 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the day of the week effect in the Athens Stock Exchange (ASE) General Index over a ten year period divided into two subperiods: 1995-2000 and 2001-2004. Five major indices are also considered: Banking, Insurance, and Miscellaneous for the first subperiod, and FTSE-20 and FTSE-40 for the second subperiod. Using a conditional variance framework, which extends previous work on the Greek stock market, we test for possible existence of day of the week variation in both return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified-GARCH (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is present for the examined indices of the emerging ASE over the period 1995-2000. However, this stock market anomaly seems to loose its strength and significance in the ASE over the period 2001-2004, which might be due to the Greek entry to the Euro-Zone and the market upgrade to the developed.
