Modelling the day-of-the-week effect in the Kuwait Stock Exchange: a nonlinear GARCH representation

Nabeel E. Al‐Loughani · David A. Chappell

61 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

The Kuwait stock exchange index is examined for evidence of a day-of-the-week effect. A nonlinear GARCH(1,1) model provides a good explanation of the data and allows identification and modelling of the day-of-the-week effect.

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References

1996A test for independence based on the correlation dimension 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1980Stock returns and the weekend effect 1981Day of the Week Effects and Asset Returns 1984A Further Investigation of the Weekend Effect in Stock Returns 1973The Behavior of Stock Prices on Fridays and Mondays 1985The Week-End Effect in Common Stock Returns: The International Evidence 1984New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note

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