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Applied Financial Economics Volume 10, 2000 - Issue 3
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Original Articles

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

TAUFIQ CHOUDHRY
Pages 235-242 | Published online: 07 Oct 2010

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Maria Ángeles Alcaide González, Elena De la Poza Plaza & Natividad Guadalajara Olmeda. (2022) How has the announcement of the Covid-19 pandemic and vaccine impacted the market?. Economic Research-Ekonomska Istraživanja 35:1, pages 5615-5631.
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Chris Motengwe & Angel Pardo. (2015) A Study of Seasonality on the Safex Wheat Market. Agrekon 54:4, pages 45-72.
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Benjamin R. Auer. (2015) Superstitious seasonality in precious metals markets? Evidence from GARCH models with time-varying skewness and kurtosis. Applied Economics 47:27, pages 2844-2859.
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Susan Sunila Sharma & Paresh Kumar Narayan. (2012) Firm heterogeneity and calendar anomalies. Applied Financial Economics 22:23, pages 1931-1949.
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Hing Lin Chan & Kai-Yin Woo. (2012) Day-of-the-week effect on the return and conditional variance of the H-shares index in Hong Kong. Applied Economics Letters 19:3, pages 243-249.
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Ali C. Akyol. (2011) Stock returns around nontrading periods: evidence from an emerging market. Applied Financial Economics 21:20, pages 1549-1560.
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Rufus Ayodeji Olowe. (2011) Oil Price Volatility, the Global Financial Crisis, and the Day-of-the-Week Effect. Journal of African Business 12:2, pages 178-197.
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Amélie Charles. (2010) Does the day-of-the-week effect on volatility improve the volatility forecasts?. Applied Economics Letters 17:3, pages 257-262.
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Shiok Ye Lim, Chong Mun Ho & Brian Dollery. (2010) An empirical analysis of calendar anomalies in the Malaysian stock market. Applied Financial Economics 20:3, pages 255-264.
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Andrés Rivas, Rahul Verma, Antonio Rodriguez & Priti Verma. (2008) International Transmission Mechanism of Stock Market Volatilities. Latin American Business Review 9:1, pages 33-68.
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Işıl Akgül & Hülya Sayyan. (2008) Modelling and forecasting long memory in exchange rate volatility vs. stable and integrated GARCH models. Applied Financial Economics 18:6, pages 463-483.
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Nickolaos V. Tsangarakis. (2007) The day-of-the-week effect in the Athens Stock Exchange (ASE). Applied Financial Economics 17:17, pages 1447-1454.
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Bing Zhang & Xindan Li. (2006) Do Calendar Effects Still Exist in the Chinese Stock Markets?. Journal of Chinese Economic and Business Studies 4:2, pages 151-163.
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Brian M. Lucey & Edel Tully. (2006) Seasonality, risk and return in daily COMEX gold and silver data 1982–2002. Applied Financial Economics 16:4, pages 319-333.
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Kaushik Bhattacharya, Nityananda Sarkar & Debabrata Mukhopadhyay. (2003) Stability of the day of the week effect in return and in volatility at the Indian capital market: a GARCH approach with proper mean specification. Applied Financial Economics 13:8, pages 553-563.
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Ghassan Omet, Mohammad Khasawneh & Jamal Khasawneh. (2002) Efficiency tests and volatility effects: evidence from the Jordanian stock market. Applied Economics Letters 9:12, pages 817-821.
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Khushboo Aggarwal & Mithilesh Kumar Jha. (2022) Stock returns seasonality in emerging asian markets. Asia-Pacific Financial Markets 30:1, pages 109-130.
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Batsirai MazvionaWinmoreWinmore, Gisele Mah & Ireen Choga. (2022) Day of the week effect in the South African equity market: A garch analysis. Ekonomika 68:1, pages 15-30.
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Brian M. Lucey & Edel Tully. (2005) Seasonality, Risk And Return In Daily COMEX Gold And Silver Data 1982-2002. SSRN Electronic Journal.
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Shlomo Zilca. (2017) Day-of-The-Week Returns and Mood: An Exterior Template Approach. SSRN Electronic Journal.
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Chris Motengwe & ngel Pardo Tornero. (2015) A Study of Seasonality on the SAFEX Wheat Market. SSRN Electronic Journal.
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Ramona Dumitriu & Razvan Stefanescu. (2013) Dow Effects in Returns and in Volatility of Stock Markets during Quiet and Turbulent Times. SSRN Electronic Journal.
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