Day of the week effect in emerging Asian stock markets: evidence from the GARCH model

Taufiq Choudhry

170 citations0/0 files storedApplied Financial Economics

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

Abstract

This paper investigates the day of the week effect on seven emerging Asian stock markets returns and conditional variance (volatility). The empirical research was conducted using the GARCH model and daily returns from India, Indonesia, Malaysia, Philippines, South Korea, Taiwan, and Thailand from January 1990 to June 1995. Results obtained indicate the significant presence of the day of the week effect on both stock returns and volatility, though the result involving both the return and volatility are not identical in all seven cases. Results also show that these effects may be due to a possible spill-over from the Japanese stock market.

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References

1986Generalized autoregressive conditional heteroskedasticity 1985Continuous Auctions and Insider Trading 1965The Behavior of Stock-Market Prices 1963The Variation of Certain Speculative Prices 1992ARCH modeling in finance 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1980Stock returns and the weekend effect 1986Stock return variances

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