This study investigates day-of-the-week DOW anomalies in the stock markets of twenty emerging economies.

7 Market Anomalies Investors Should Know

The authors use a modified exponential generalized autoregressive conditional heteroskedasticity in-mean EGARCH-M modeling strategy that allows for the simultaneous examination of DOW effects on market return and variability. To summarize, DOW effects are present in market returns for only three countries, in market volatility for only five countries, and they are present in both for only one country, when the estimates are evaluated at the 1 percent significance level.

Despite this, at lower levels of significance the common qualitative patterns in the estimates are extracted such that the higher returns are concentrated around Fridays, whereas volatility is highest on Mondays and lowest on Tuesdays and Fridays. If you experience problems downloading a file, check if you have the proper application to view it first.

In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large. Opletalova 26, CZ 00 Prague Phone: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes G10 - Financial Economics - - General Financial Markets - - - General includes Measurement and Data G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates References References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Equity ," NBER Working Papers , National Bureau of Economic Research, Inc.

International evidence ," Review of Financial Economics , Elsevier, vol. Inflation Based upon the ARCH Model: A Comment ," Journal of Money, Credit and Banking , Blackwell Publishing, vol. Full references including those not matched with items on IDEAS Citations Citations are extracted by the CitEc Project , subscribe to its RSS feed for this item. Rayenda Khresna Brahmana, The International Journal of Systems and Ethics , Emerald Group Publishing, vol.

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Ndako, Umar Bida, Evidence from Nigeria and South Africa ," MPRA Paper , University Library of Munich, Germany. Evidence from international developed markets ," Economics Discussion Papers , Kiel Institute for the World Economy IfW. Lists This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS. Statistics Access and download statistics Corrections When requesting a correction, please mention this item's handle: See general information about how to correct material in RePEc.

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IDEAS is a service hosted by the Research Division of the Federal Reserve Bank of St. Log in now much improved! The Day-of-the-Week Effect on Stock-Market Volatility and Return: Evidence from Emerging Markets in English. Author info Abstract Bibliographic info Download info Related research References Citations Lists Statistics Corrections.

Yeliz Yalcin Department of Econometrics, Gazi University, Ankara, Turkey Eray M. Yycel Research and Monetary Policy Department, Central Bank of the Republic of Turkey, Ankara, Turkey and Department of Economics, Bilkent University, Ankara, Turkey. Article provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.

HTML HTML with abstract plain text plain text with abstract BibTeX RIS EndNote, RefMan, ProCite ReDIF JSON in new window. C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes G10 - Financial Economics - - General Financial Markets - - - General includes Measurement and Data G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates.

References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Full references including those not matched with items on IDEAS. Citations are extracted by the CitEc Project , subscribe to its RSS feed for this item. This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

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