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

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.