Stock Market Anomaly: Day of the Week Effect in Dhaka Stock Exchange

Transcription

1 Iteratioal Joural of Busiess ad Maagemet May, 009 Stock Market Aomaly: Day of the Week Effect i Dhaka Stock Exchage Abstract Md. Lutfur Rahma Departmet of Busiess Admiistratio, East West Uiversity 43, Mohakhali, Dhaka-, Bagladesh Tel: /77 lutfur@ewubd.edu This paper examies the presece of day of the week effect aomaly i Dhaka Stock Exchage (DSE). Several hypotheses have bee formulated; dummy variable regressio ad the GARCH (, ) model were used i the study. The result idicates that Suday ad Moday returs are egative ad oly positive returs o Thursdays are statistically sigificat. Result also reveals that the mea daily returs betwee two cosecutive days differ sigificatly for the pairs Moday-Tuesday, Wedesday-Thursday ad Thursday-Suday. Result also shows that the average daily retur of every workig day of the week is ot statistically equal. Dummy variable regressio result shows that oly Thursdays have positive ad statistically sigificat coefficiets. Results of GARCH (, ) model show statistically sigificat egative coefficiets for Suday ad Moday ad statistically sigificat positive coefficiet for Thursday dummies. The coclusio of all the fidigs is that sigificat day of the week effect preset i DSE. Keywords: Stock market aomaly, Day of the week effect, Dhaka Stock Exchage, Dummy variable regressio, GARCH (, ) model. Itroductio The famous efficiet market hypothesis (EMH) was itroduced by Fama (965) few decades ago which claims that i a efficiet market stock prices always fully reflect available iformatio. If the stock markets are efficiet, stock prices are supposed to follow radom walk. The radom walk hypothesis states that future prices are ot predictable o the basis of past prices, that is, stock price chages are upredictable. The iformatio cotaied i the past prices is fully ad istataeously reflected i curret prices i a efficiet market as argued by Fama (965). Subsequet to study of Fama (965) a good umber of researches have bee coducted to examie the radomess of stock price behavior to coclude about the efficiecy of a capital market. More recetly oe of the popular areas of research i fiace literature is fidig out a particular seasoality or patter i stock returs which demostrate the iefficiecy of the market. Sice the itroductio of EMH by Fama (965) which states that the expected retur o a fiacial asset should be uiformly distributed across differet uits of time, researchers have documeted several caledar aomalies i the stock returs such as Jauary effect, Tur of the moth effect ad Day of the week effect or Moday effect, Holiday effect ad so o. The existece of the caledar aomalies is a deial of the weak form of efficiet market hypothesis which states that stock returs are time ivariat which meas that there is o short-term seasoal patter i the stock returs. The subsistece of seasoal patter i the stock retur ifers that a market is iefficiet ad ivestors should be able to ear abormal retur. That s why fiace researchers have bee iterested to fid out the existece of the caledar aomalies or seasoality i the stock returs i differet markets. Amog the caledar aomalies day of the week effect is most widely documeted aomaly ad have bee comprehesively ivestigated by the fiace researchers i differet markets of differet coutries cosiderig differet securities ad idices ad differet istitutioal framework. Empirical studies have show that day of the week aomaly ot oly preset i the fiacial markets of the developed couties [for example, Gibbos ad Hess (98), Keim ad Stambaugh (984) Jaffe ad Westerfield (985) Lakoishok ad Smidt (988)] but also i the developig markets [for example, Aggarwal ad Rivoli (989), Islam ad Gomes (999), Choudhry (000), Aly, et al. (004), Nath ad Dalvi (004), Hossai (007), Agathee (008)]. The specific objective of this study is to ivestigate the existece of day of the week effect aomaly i Dhaka Stock Exchage (DSE) which is the prime stock market i Bagladesh. The results of this study will have importat practical implicatios for capital market participat like ivestors, maagers ad regulatory authorities. 93

2 Vol. 4, No. 5 Iteratioal Joural of Busiess ad Maagemet A good umber of empirical studies have bee coducted so far to examie the existece of day of the week effect i various markets of various coutries for the last few decades. Researchers have foud day of the week effect i a variety of forms i differet markets. I most of the developed markets, empirical studies foud egative Moday returs ad positive Friday returs such as Cross (973), Frech (980), Gibbos & Hess (98), Lakoishok ad Levi (98), Rogalski (984), Keim & Stambaugh (984), Theobald ad Price (984), Jaffe & Westerfield (985), Harris (986), Simrlock & Starts (986), Board ad Sutcliffe (988), Lakoishok ad Smidt (988), Kim (988), Jaff, Westerfield ad Ma (989), Cohers ad Cohers (995),Tag ad Kwok (997), Mehdia ad Perry (00) ad so o. Oe possible explaatio for such day of the week effect aomaly may be that most of the positive ecoomic ews comes at the week ed ad ivestors show affirmative ad hopeful ivestmet behavior which result i a positive retur o Fridays. O the other had, most of the egative ecoomic ews comes at the begiig of the week ad ivestors try to sell their ivestmet which result i a egative retur o Modays. Some other studies foud day of the week effect i differet forms specifically egative returs o Tuesday such as Codoyai, O Halo & Ward (987), Solik & Bousqet (990), Kato (990), Athaassakos & Robiso (994), Kim (988), Aggarwal & Rivoli (989), Ho (990) Wog, Hui ad Cha (99), Agrawal ad Tado (994), Balaba (995), Bildik (997) ad Özme (997) ad so o. Some other studies foud o day of the week effect existed i capital markets such as Satemases (986), Malaikah (990), Aybar (99), Pea (995) ad Gardeazabal ad Regulez (00) ad so o. So there is o empirical harmoy amog the researchers regardig the issue which justifies the eed of more research i this area. I a coutry like Bagladesh where the ecoomy is still emergig ad capital market is i a vulerable coditio, empirical studies to examie the presece of day of the week effect i this market is very few such as Islam ad Gomes (999) ad Hossai (007). No study has yet bee made to examie the presece of day of the week effect cosiderig all the three idices of DSE which has ecouraged us to coduct the study to cotribute to fiace literature. The remaider of the paper is orgaized as follows. Sectio provides literature review. Sectio 3 discusses testable hypotheses, the data, time frame cosidered right through the study ad methodological issues. Sectio 4 provides empirical results ad fidigs. A summary is give i sectio 5.. Literature Review Extesive literature is available regardig day of the week effect ad other market aomalies across the globe. I a early attempt Frech (980) ivestigated two alterative models of the process geeratig stock returs. He cocluded that durig most of period studied from 953 through 977, the daily returs to the Stadard ad Poor s composite portfolio are icosistet with both models. He also foud out that the average retur for Moday was sigificatly egative but the average retur for the other four days of the week was positive. Gibbos ad Hess (98) examied the existece of day of the week effect i the US market usig Dow Joes Idustrial Average. They foud strog ad persistet egative mea returs o Moday for stocks ad below average returs for bills o Modays. Keim ad Stambaugh (984) made a similar study usig loger time period ad additioal stocks ad foud cosistetly egative returs for the S & P composite as early as 98, for exchage traded stocks of firms of all sizes ad for actively traded over the couter (OTC) stocks. Jaffe ad Westerfield (985) examied daily stock market retur for the U.S., U.K., Japa, Caada ad Australia. They foud so called week-ed effect i each coutry. They cotrasted the previous studies of the U.S ad cocluded that lowest mea returs for both the Japaese ad Australia markets occur o Tuesday. Harris (986) examied weekly ad itraday patters i commo stock prices usig trasactio data. He foud that for large firms, egative Moday retur accrue betwee the Friday close ad the Moday ope ad for small firms they accrue primarily durig the Moday tradig day. He also cocluded that o Moday morig, prices drop, while o the other weekday morigs, they rise. I some related studies Thoebald ad Price (984), Simrlock ad Starts (986), Board ad Sutcliffe (988), Cohers ad Cohers (995) ad Tag ad Kwok (997) ad may others support the previous studies ad cocluded that Modays average retur are egative ad Fridays average retur are positive. That meas, share prices ted to declie o opeig day (Moday) of the week ad ted to icrease o the closig day (Thursday) of the week. Lakoishok ad Smidt (988) used 90 years of daily data o the Dow Joes Idustrial Average to test the existece of persistet seasoal patters i the rates of retur. They foud evidece of persistetly aomalous returs aroud the tur of the week. Aggarwal ad Rivoli (989) examied seasoal ad daily patters i equity returs of four emergig markets: Hog-Kog, Sigapore, Malaysia ad the Philippies. Their results support the existece of a seasoal patter i these markets. They foud a robust day of the week effect. They cocluded that these markets exhibit a weeked effect of their ow i the form of low Moday returs. Lakoishok ad Maberly (990) documeted regularities i tradig patters of idividual ad istitutioal ivestors related to the day of the week. They foud a relative icrease i tradig activity by idividuals o Modays. They also cocluded that there is a tedecy for idividuals to icrease the umber of sell trasactios relatively to buy trasactios, which might explai at least part of the weeked effect. Agarwal ad Tado (994) examied five seasoal patters i the stock markets of eightee coutries. They foud a 94

3 Iteratioal Joural of Busiess ad Maagemet May, 009 daily seasoal i early all the coutries but a weeked effect i oly ie coutries. Dubois ad Louvet (996) re-examied the day of the week effect for eleve idices from ie coutries from period. They foud that the returs to be lower at the begiig of the week for full period but may ot be o Moday. They also foud that the aomaly disappears for most recet period i the USA but the effect is still strog for Europea coutries, Hog-Kog ad Toroto. Wag ad Erickso (997) showed that the well-kow Moday effect occurs primarily i the last two weeks of the moth. They also cocluded that the mea Moday retur of the first three weeks of the moth is ot sigificatly differet from zero. Islam ad Gomes (999) examied the day of the week effect i the Dhaka Stock Exchage. They foud the presece of daily retur variatios ad large positive returs for the last day of the week. The week ed effect foud to be sigificatly large ad positive. Choudhry (000) ivestigated the day of the week effect i seve emergig Asia markets: Idia, Idoesia, Malaysia, Philippies, South Korea, Taiwa ad Thailad from Jauary 990 to Jue 995. Their result idicates the presece of sigificat day of the week effect o both stock returs ad volatility although the result ivolvig both the retur ad volatility are ot idetical i all seve cases. Mehdia ad Perry (00) re-examied the Moday effect i the US stock market from 964 to 999 usig daily returs. Result obtaied idicates that Moday returs are sigificatly egative i all five stock idices for a period before 987. But i the post 987 period they foud a sigificat reversal of the Moday effect sice Moday returs are sigificatly positive. Lyroudi, Subeiotis ad Komisopoulos (00) examied day of the week effect i Greek stock market for the period Jauary, 997 to December 30, 999. They foud that the day-of-the-week effect was existet i the Greek stock market. They foud positive ad statistically sigificat returs o Tuesdays ad Wedesdays. O the other had, they also foud egative ad statistically isigificat returs o Thursdays. Patev, Lyroudi ad Kaarya (003) ivestigated the existece of the day-of-the-week effect i eight Cetral Europea stock markets: Romaia, Hugary, Latvia, Czech, Russia, Slovakia, Sloveia ad Polad for the period September, 997 to March 9, 00. They foud mixed results i their study. They foud that the Czech ad Romaia markets have sigificat egative returs o Moday ad the Sloveia market has sigificat positive returs o Wedesday ad has isigificat egative returs o Fridays. They also cocluded that the Polish ad Slovak markets have o day-of-the week effect aomaly. Aly, et al. (004) ivestigated the existece of the day-of-the week effect i the Egyptia stock market, for a period of April 6, 998 util Jue 6, 00. Egyptia stock market has oly four tradig days (Moday to Thursday).. They accomplished that Moday returs i the Egyptia stock market are positive ad sigificat o average, but are ot sigificatly differet from returs of the rest of the week. Nath ad Dalvi (004) examied the day of the week effect i the Idia equity market. They foud sigificat day of the week effect i the market before rollig settlemet i 00. Chukwuogor-Ndu (006) examied the fiacial markets treds i 5 emergig ad developed Europea fiacial markets. He foud the presece of day of the week effect durig the period of 997 to 004. He also foud that seve of the Europea fiacial markets experieced egative returs o Moday ad seve others experiece egative returs o Wedesday. They also cocluded that geerally there was high volatility of returs i the Europea fiacial markets. Hossai (007) ivestigated day of the week effect i small portfolios i Bagladesh. The result showed that the strategy buy o day ad sell o Moday geerates the highest mea daily retur from D-D6 strategy-buy o day oe ad sell o day six. The study also foud that o average, above average retur is ot possible if portfolios are sold o Saturdays ad Modays. Agathee (008) ivestigated the existece of day of the week effect i the emergig market of Mauritius usig observatios from Stock Exchage of Mauritius for a period of 006. The study foud that the Friday returs are higher relative to other tradig days. The study also cocluded that the mea returs across the five week days are joitly ot sigificatly differet from zero. 3. Testable hypothesis, Data ad Methodology To study whether the day of the week effect aomaly is experimetal i Dhaka Stock Exchage or ot, the followig hypotheses have bee formulated. 3. Testable Hypotheses 3.. Hypothesis H 0 : The average daily retur of every workig day of the week is ot statistically differet from zero. H : The average daily retur of every workig day of the week is statistically differet from zero. That is, Null Hypothesis is H 0 : ij = 0 Alterative Hypothesis is H : ij 0 i=,, 3 (the examied idex) j=, 5 (the workig weekdays from Suday to Thursday) 95

4 Vol. 4, No. 5 Iteratioal Joural of Busiess ad Maagemet 3.. Hypothesis H 0 : The average daily returs betwee two sequetial workig days are ot statistically differet. H : The average daily returs betwee two sequetial workig days are statistically differet. That is, Null Hypothesis is H 0 : - = 0 Alterative Hypothesis is H : - 0 If ad are the populatio meas of these sequetial days Hypothesis 3 H 0 : The average daily retur of every workig day of the week is statistically equal Hı: The average daily retur of every workig day of the week is statistically differet Null hypothesis is Ho: µ= µ= µ3= µ4= µ5 µ= Average retur of Suday µ= Average retur of Moday µ3=average retur of Tuesday µ4=average retur of Wedesday µ5=average retur of Thursday Alterative hypothesis: Hı: µ# µ#µ3#µ4# µ5 µ= Average retur of Suday µ= Average retur of Moday µ3=average retur of Tuesday µ4=average retur of Wedesday µ5=average retur of Thursday 3. Data Data used i the study iclude daily closig prices of DSE idices such as DSE all share prices idex (DSI), DSE geeral idex (DGEN) ad DSE 0 idex DSE 0)for a period of All the data have bee collected from DSE library. 3.3 Methodology First of all, the followig equatio is used to determie the average daily retur of the particular idex for each workig day of the week. R it = P P i,t P i,t- i,t- () R i,t is the retur of idex i o day t, P i,t is the price of idex i o day t ad P i,t- is the price of idex i o day t-. I the ext step, we tested whether the average daily retur of all the week days are statistically differet from zero or ot. I order to test this hypothesis we use oe-sample t-test. The t-statistic is calculated accordig to the followig formula: t X () Where, x is the average retur for each day of the week from Suday to Thursday ad for each idex, is hypothetical mea which equal to zero, is the stadard deviatio of the each day s retur from Suday to Thursday, is the umber of observatios of each week day from Suday to Thursday ad is the stadard error. I the ext step, we tested whether the average daily returs betwee two sequetial workig days are statistically differet from zero or ot. To test this hypothesis we use two-sample t-test. The t-statistic is calculated accordig to the followig formula: 96

5 Iteratioal Joural of Busiess ad Maagemet May, 009 t (3) SD SD x x Where, x is the average retur of day (e.g. Suday s average retur), x is the average retur of day (e.g. Moday s average retur), SD is the stadard deviatio of returs of day (e.g. Suday), SD is the stadard deviatio of returs of day (e.g. Moday), is sample size of day (e.g. Suday) ad is sample size of day (e.g. Moday). I the ext step, we tested whether the average daily retur of every workig day of the week is statistically equal or ot. I order to test this hypothesis we use sigle factor ANOVA. The stadard F-statistic is calculated as followig: F BSS / / df B (4) WSS df W where, BSS is betwee sum of squares, WSS is withi sum of squares ad ad df is degrees of freedom withi groups. w BSS ad WSS are calculated as follows: df B is degrees of freedom betwee groups x x x x... x x BSS (5)... where,,. is the sample size of every workig day from Suday to Thursday, x, x.. mea retur of every workig day from Suday to Thursday, ad x is the populatio mea. x is the SD SD... SD WSS (6) where,,. is the sample size of every workig day from Suday to Thursday, SD SD is the stadard deviatio of returs of each workig day from Suday to Thursday. To detect the presece of day of the week we use the followig dummy variable regressio: SD, R it = D t + D t + 3 D 3t + 4 D 4t + 5 D 5t + t (7) Where, R it is the daily idex retur D dummy variable equal to if t is a Suday ad 0 otherwise; D dummy variable equal to if t is a Moday ad 0 otherwise; D 3 dummy variable equal to if t is a Tuesday ad 0 otherwise; D 4 dummy variable equal to if t is a Wedesday ad 0 otherwise; D 5 dummy variable equal to if t is a Thursday ad 0 otherwise; t is the stochastic disturbace term. = Average retur of Suday = Average retur of Moday 3=Average retur of Tuesday 3=Average retur of Wedesday 3=Average retur of Thursday The hypothesis to be tested for testig the presece of the day of the week effect is as follows: = = 3 = 4 = 5 (8) 97

6 Vol. 4, No. 5 Iteratioal Joural of Busiess ad Maagemet If the daily returs are draw from a idedical distributio, they will be expected to be equal. The ull hypothesis will idicate a specfic patter i the stock retur thus the presece of day of the week aomaly. The above regressio equatio has a limitatio that it assumes the existece of costat variace. So if there is a time varyig variace it may result i iefficiet estimates. For this reaso, we iclude the chagig variace i the estimatio. Our assumptios is that the error term of the retur equatio has a ormal distributio with zero mea ad time varyig coditioal variace. To model coditioal variace we regress the stock retur to day of the week dummy variables. We iclude AR terms ad GARCH (, ) terms i the regressio to take ito accout the coditioal mea ad coditioal volatility. The regressio model is as follows: R t 5 5 R D (9.) i ti i j j j t where, t / t N 0, ht (9.) h t t h t (9.3) where Dj are sigificat dummy variables from equatio which take the value if the correspodig day is Suday, Moday, Tuesday, Wedesday or Thursday ad 0 otherwise ad is the market price of risk. The gamma coefficiets i the coditioal variace equatio, measure the seasoality i volatility of the market. If the iclusio of h t i the coditioal mea equatio reders the dummy variables i the mea equatio isigificat, we could explai that the sigificat dummy variables due to daily variatio i stock market risk. Alteratively, if the dummy variables remai sigificat as explaatory variables i spite of the iclusio of h t i the coditioal mea equatio, we ca coclude that the seasoality i the daily returs is ot due to temporal variatio i stock market risk, as proxied by the GARCH (, ) model. 4. Empirical Results ad Fidigs Table.,. ad.3 represet daily mea returs, stadard deviatio of returs ad coefficiet of variatio. To test the first hypothesis, the tables also represet t-values ad their correspodig p-values for DSI, DSE-0 ad DGEN idex respectively. From the tables we ca see that for all the three idices mea returs for Suday ad Moday are egative ad for all other days mea returs are positive. It is also evidet that oly positive returs o Thursdays are statistically sigificat at % sigificace level for all the three idices thus our testable first hypothesis is rejected for all the three idices. So we ca say that sigificat day of the week effect observed i DSE for all the three idices Table.,. ad.3 represet daily mea returs for the pair of days. To test the secod hypothesis, the tables also represet t-values ad their correspodig p-values for DSI, DSE-0 ad DGEN idex respectively. It is apparet from the tables that the mea daily returs betwee two cosecutive days differ sigificatly for the pairs Moday-Tuesday, Wedesday-Thursday ad Thursday-Suday for all the three idices thus the secod hypothesis is rejected for these pair of days. For the other pair of days mea returs do ot differ sigificatly thus the ull hypothesis is accepted. So we ca draw the similar coclusio that the DSE is experiecig sigificat day of the week effect. Table 3., 3. ad 3.3 represet ANOVA tables for DSI, DSE-0 ad DGEN idex respectively. It is obvious from the tables that for all the three idices calculated F-values are greater tha critical F-values thus our third hypothesis is rejected for all the three cases. So we ca ifer that the average daily retur of every workig day of the week is ot statistically equal which supports the existece of day of the week effect i DSE. Table 4., 4. ad 4.3 represet OLS regressio results for DSI, DSE-0 ad DGEN idex respectively. It is clear from the tables that oly Thursdays have positive ad statistically sigificat coefficiets for all the three idices which is cosistet with our previous results. Sudays ad Modays have statistically sigificat ad egative coefficiets which is also cosistet with our previous result. Thus we ca further coclude that sigificat day of the week effect preset i DSE. Table 5., 5. ad 5.3 represet parameter estimates of equatio 8. for DSI, DSE-0 ad DGEN idex respectively. From the table we ca see statistically sigificat egative coefficiets for Suday ad Moday ad statistically sigificat positive coefficiet for Thursday dummies for all the three idices. The Thursday coefficiet is , ad which implies that the coditioal mea retur o Thursday is 3%, 39% ad 38% poits higher tha the coditioal mea retur for all the week days of the week take together for DSI, DSE-0 ad DGEN idex 98

7 Iteratioal Joural of Busiess ad Maagemet May, 009 respectively. Results also idicate that the coditioal mea retur teds to shift to the positive directio o Thursdays ad egative directio o Sudays ad Modays. 5. Coclusio I this paper we have examied the presece of day of the week effect i DSE. We cosidered daily closig values of DSE idices for a period of We formulated several hypotheses ad used oe-sample t-test, two-sample t-test ad ANOVA to test those hypotheses. We used dummy variable regressio to ifer whether day of the week aomaly exist i DSE. We also used the GARCH (, ) model to test the volatility of retur. The result idicate that for all the three idices mea returs for Suday ad Moday are egative ad for all other days mea returs are positive. It is also evidet that oly positive returs o Thursdays are statistically sigificat for all the three idices. Result also reveals that the mea daily returs betwee two cosecutive days differ sigificatly for the pairs Moday-Tuesday, Wedesday-Thursday ad Thursday-Suday for all the three idices. For the other pair of days mea returs do ot differ sigificatly. It is obvious from the result that for all the three idices calculated F-values are greater tha critical F-values thus we ca ifer that the average daily retur of every workig day of the week is ot statistically equal which supports the existece of day of the week effect i DSE. Dummy variable regressio result shows that oly Thursdays have positive ad statistically sigificat coefficiets for all the three idices which is cosistet with our previous results. Sudays ad Modays have statistically sigificat ad egative coefficiets. Results of GARCH (,) model shows statistically sigificat egative coefficiets for Suday ad Moday ad statistically sigificat positive coefficiet for Thursday dummies for all the three idices. Results also idicate that the coditioal mea retur teds to shift to the positive directio o Thursdays ad egative directio o Sudays ad Modays. We ca coclude from all the results that statistically sigificat egative returs occur o Sudays ad Modays where as high ad statistically sigificat positive retur occur o Thursdays which reveals that sigificat day of the week effect preset i DSE for all the three idices for the period examied. Oe possible explaatio for such day of the week effect aomaly may be that most of the positive ecoomic ews comes at the week ed ad ivestors show affirmative ad hopeful ivestmet behavior which result i a positive retur o Thursdays. O the other had, most of the egative ecoomic ews comes at the begiig of the week ad ivestors try to sell their ivestmet which result i a egative retur o Sudays ad Modays. The results have importat practical implicatios to differet capital market participats such as ivestors, maagers ad regulatory authorities. Ivestors ca formulate their ivestmet strategies ad timig o the basis of this result ad ca ear some abormal retur by predictig future prices. More specifically said, as we coclude egative Suday ad Moday returs ad sigificatly positive retur o Thursday so ivestors ca buy the shares o Suday ad Moday ad ca sell the share o Thursday. By followig this tradig strategy ivestors are expected to ear some abormal retur. Oe weakess of the study is that it does ot cosider idividual share price rather it cosiders market idex. So ivestmet strategy o the basis of the fidig of this study i case of idividual share may ot provide expected result. But if the size of the portfolio is larger that closely represet the market the ivestmet strategy o basis of the fidig of this study is expected to provide some abormal retur to the ivestors. As the presece of the day of the week aomaly idicates iefficiecy of the market, it iforms the regulators ad policy markers that appropriate measures should be take to brig iformatioal ad operatioal efficiecy i the market. It is argued by Islam ad Gomes (999) that a combiatio of factors like iadequate fiacial iformatio, thi ad discotiuous tradig, reliace o price mometum as a basis for tradig ad maipulatio by the market makers creates the coditios that lead to the positive weeked effect. Thus the regulators should take appropriate steps to remove such aomaly to brig the efficiecy of the market. Refereces Agathee, U. S. (008). Day of the week effect: Evidece from the stock exchage of Mauritius (SEM). Iteratioal Research Joural of Fiace ad Ecoomics, 7, 7-4. Aggarwal, R., & Rivoli, P. (989). O the relatioship betwee the Uited States' ad four Asia equity markets. Asea Ecoomic Bulleti, 6, 0-7. Agrawal, A., & Tado, K. (994). Aomalies or illusios? Evidece from stock markets i eightee coutries. Joural of Iteratioal Moey ad Fiace, 3, Aly, H., Mehdia, S., & Perry, M. J. (004). A aalysis of the day-of-the-week effects i the Egyptia stock market. Iteratioal joural of busiess, 9(3), Athaassakos, G., & Robiso, M. J. (994). The day of the week aomaly: The Toroto Stock Exchage experiece. Joural of Busiess Fiace & Accoutig,, Aybar, C. (99). Descriptive aalysis of stock retur behavior i a emergig market: The case of Turkey. Ph.D. Dissertatio, Ohio State Uiversity. 99

8 Vol. 4, No. 5 Iteratioal Joural of Busiess ad Maagemet Balaba, E. (995). Day - of- the- week effects: ew evidece from a mergig stock market. Applied Ecoomics Letters,, Bildik, R., (997). Hisse seedi piyasalarida aykiriliklar: IMKB'da gu etkisi. Upublished Workig Paper at Fiace Departmet of Istabul Uiversity. Board, J.L., & Sutcliffe, C.M. (988). The weeked effect i UK stock market returs. Joural of Busiess, Fiace & Accoutig, 5, Choudhry, T. (000). Day of the week effect i emergig Asia stock markets: evidece from the GRACH model. Applied Fiacial Ecoomics, 0, Chukwuogor-Ndu. (006) Stock market returs aalysis, day-of-the-week effect, volatility of returs: Evidece from Europea fiacial markets Iteratioal Research Joural of Fiace ad Ecoomics,, -4. Cohers, T., & Cohers, G. (995). The impact of firm size differeces o the day of the week effect: A compariso of major stock exchages. Applied Fiacial Ecoomics, 5, Codoyai L., O'Halo, J., & Ward, C. (987) Day -of-the -week effects o stock returs: Iteratioal evidece. Joural of Busiess, Fiace & Accoutig, summer, Cross, F. (973). The behavior of stock prices o Fridays ad Modays. Fiacial Aalysts Joural, November/December, Dubois, M., & Louvet, P. (996). The day- of- the- week effect: Iteratioal evidece. Joural of Bakig ad Fiace, 0, Fama, E. F. (965). Behavior of stock market prices. Joural of Busiess, 38, Frech, K. R. (980). Stock returs ad the weeked effect. Joural of Fiacial Ecoomics, 7, Gardeazabal, J., & Regulez, M. (00). The weeked-divided effect i the Spaish market. Presetatio at the 00 Europea Fiace Maagemet Associatio, Aual Coferece, Lodo, UK. Gibbos, M., & Hess, P. (98). Day of the week effects ad asset returs. Joural of Busiess, October, Harris, L. (986). A trasactio data study of weekly ad itradaily patters i stock returs. The Joural of Fiacial Ecoomics, 6, Ho, Y.K. (990). Stock retur seasoalities i Asia Pacific markets. Joural of Iteratioal Fiacial Maagemet ad Accoutig,, Hossai, F. (004). Day of the week effect i Dhaka Stock Exchage: Evidece from small portfolios of bakig sector. Jahagiragar Review, Part II: Social Sciece, 8, Islam, M. M., & Gomes J. L. (999). The day-of the-week effects i less-developed coutries markets: The case of Bagladesh. Iteratioal Advaces i Ecoomic Research, 5(3), 397. Jaffe J., Westerfield, R., & Christopher, M.A. A twist o the Moday effect i stock prices. Joural of Bakig ad Fiace, 3, Jaffe, J., & Westerfield, R. (985). Patters i Japaese commo stock returs: Day of the week ad tur of the year effects. Joural of Fiacial ad Quatitative Aalysis, Jue, 6-7. Kato, K. (990). Weekly patters i Japaese stock returs. Maagemet Sciece, 36, Keim, D., & Stambaugh, R. (984). A further ivestigatio of the weeked effect i stock returs. Joural of Fiace, July, Kim, S.W. (988). Capitalizig o the weeked effect. Joural of portfolio Maagemet, 5, Lakoishok J., & Levy, M. (98). The weeked effects o stock returs", Joural of Fiace, Jue, Lakoishok J., & Maberly, E. (990). The weeked effect: Tradig patters of idividual ad istitutioal ivestors. Joural of Fiace, March, Lakoishok. J., & Smidt, S. (998). Are seasoal aomalies real? A iety Years perspective. Review of Fiacial Studies, (4), Lyroudi, K., Subeiotis, D., & Komisopoulos G. (00). Market aomalies i the A.S.E.: The day of the week effect. Presetatio at the 00 Europea Fiace Maagemet Associatio, Aual Coferece, Jue, Lodo, UK. Malaikah, S. J. (990). Saudi Arabia ad Kuwait: A study of stock Market behavior ad its policy implicatios. Ph.D. Dissertatio, Michiga State Uiversity. 00

9 Iteratioal Joural of Busiess ad Maagemet May, 009 Mehdia, S., & Perry, M. (00). The reversal of the Moday effect: ew evidece from US equity markets, Joural of Busiess Fiace ad Accoutig, 8 (7) & (8). Nath, G.C., & Dalvi, M. (004). Day-of-the-week effect ad market efficiecy-evidece from Idia equity market usig high frequecy data of Natioal Stock Exchage. Paper Preseted at The Ceter for Aalytical Fiace, Idia School of Busiess, Hyderabad, December, 9-, 004. Ozme, T. (997). Duya borsalarida gozlemlee aomaliler ve IMKB uzerie bir deeme. Publicatio of the Capital Market Board of Turkey, 6. Pea, I. (995). Daily seasoalities ad stock market reforms i Spai. Applied Fiacial Ecoomics, Platev, P., Lyroudi, K., & Kaarya, N. (004). The day of the week effect i the cetral europea trasitio stock markets. Workig paper. Retrieved Jue 0, 004. Rogalski R. (984). New fidigs regardig day-of-the -week returs over tradig ad o-tradig periods. Joural of Fiace, December, Satemases, M. (986). A ivestigatio of the Spaish stock market seasoalities. Joural of Busiess, Fiace & Accoutig, 3 (), Smirlock, M., & Starks, L. (986). Day - of- the- week ad itraday effects i stock returs. Joural of Fiacial Ecoomics, September, Solik, B., & Bousquet, L. (990). Day - of- the- week effect o the Paris Bourse. Joural of Bakig ad Fiace, 4, Tag, G.Y.N., & Kwok, K. (997). Day of the week effect i iteratioal portfolio diversificatio: Jauary vs No-Jauary, Japa World Ecoomics, 9, Theobald, M., & Price,V. (984). Seasoality estimatio i thi markets. Joural of Fiace, 39, Wag, K., Li, Y., & Erickso, J. (997). A ew look at the Moday effect. Joural of Fiace, 5, Wog, K.A., Hui, T.K., & Cha, C.Y. (99). Day- of- the- week effects: Evidece from developig stock markets. Applied Fiacial Ecoomics,, Table. Mea Daily Retur of DSI Day Obs. Mea Retur (%) Stadard Deviatio (%) Coefficiet Of Variatio t-value p-value Suday Moday Tuesday Wedesday Thursday *** *** deotes sigificat at % sigificace level Table. Mea Daily Retur of DSE-0 Day Obs Mea Retur (%) Stadard Deviatio (%) Coefficiet Of Variatio t-value p-value Suday Moday ** Tuesday Wedesday Thursday *** *** deotes sigificat at % sigificace level ad ** deotes sigificat at 5% sigificace level 0

10 Vol. 4, No. 5 Iteratioal Joural of Busiess ad Maagemet Table.3 Mea Daily Retur of DGEN Day Obs Mea Retur (%) Stadard Deviatio (%) Coefficiet Of Variatio t-value p-value Suday Moday Tuesday Wedesday Thursday *** *** deotes sigificat at % sigificace level Table. Mea Retur of Two Sequetial Days of DSI Pair days Mea retur t-value p-value Suday Moday Moday Tuesday ** 0.05 Tuesday Wedesday Wedesday Thursday ** Thursday 0.39 Suday *** *** deotes sigificat at % sigificace level ad ** deotes sigificat at 5% sigificace level Table. Mea Retur of Two Sequetial Days of DSE-0 Pair days Mea retur t-value p-value Suday Moday Moday Tuesday ** 0.03 Tuesday Wedesday Wedesday Thursday ** Thursday Suday *** *** deotes sigificat at % sigificace level ad ** deotes sigificat at 5% sigificace level 0

11 Iteratioal Joural of Busiess ad Maagemet May, 009 Table.3 Mea Retur of Two Sequetial Days of DGEN Pair days Mea retur t-value p-value Suday Moday Moday Tuesday ** Tuesday Wedesday Wedesday Thursday ** Thursday Suday *** *** deotes sigificat at % sigificace level ad ** deotes sigificat at 5% sigificace level Table 3. ANOVA table of DSI ANOVA Source of Variatio SS df MS F P-value F crit Betwee Groups *** Withi Groups Total Table 3. ANOVA table of DSE-0 ANOVA Source of Variatio SS df MS F P-value F crit Betwee Groups *** Withi Groups Total Table 3.3 ANOVA table of DSE-0 ANOVA Source of Variatio SS df MS F P-value F crit Betwee Groups *** Withi Groups Total

12 Vol. 4, No. 5 Iteratioal Joural of Busiess ad Maagemet Table 4. Regressio Result of DSI Idex Variable Coefficiet Std. Error t-statistic Prob. Itercept Suday *** Moday *** Tuesday Wedesday Thursday *** R-squared Sum squared resid Adjusted R-squared F-statistic Stadard Error.8875 Prob (F-statistic) Table 4. Regressio Result of DSE-0 Idex Variable Coefficiet Std. Error t-statitic Prob. Itercept Suday *** Moday ***.87E-05 Tuesday Wedesday Thursday *** R-squared Sum squared resid Adjusted R-squared 0.07 F-statistic Stadard Error.5583 Prob (F-statistic) Table 4.3 Regressio Result of DGEN Idex Variable Coefficiet Std. Error t-statitic Prob. Itercept Suday *** Moday *** Tuesday Wedesday Thursday *** R-squared Sum squared resid Adjusted R-squared F-statistic Stadard Error.56 Prob (F-statistic)

13 Iteratioal Joural of Busiess ad Maagemet May, 009 Table 5. Stock Market Volatility usig DSI Idex Coefficiet Std. Error z-statistic Prob. GARCH C SUNDAY *** MONDAY *** TUESDAY WEDNESDAY THURSDAY *** Variace Equatio C RESID(-)^ GARCH(-) T-DIST. DOF R-squared Mea depedet var Adjusted R-squared S.D. depedet var.464 S.E. of regressio.3346 Akaike ifo criterio Sum squared resid Schwarz criterio 3.9 Log likelihood F-statistic Durbi-Watso stat Prob(F-statistic) Table 5. Stock Market Volatility usig DSE-0 Idex Coefficiet Std. Error z-statistic Prob. GARCH C SUNDAY *** MONDAY *** TUESDAY WEDNESDAY THURSDAY *** Variace Equatio C RESID(-)^ GARCH(-) T-DIST. DOF R-squared Mea depedet var Adjusted R-squared S.D. depedet var S.E. of regressio.97 Akaike ifo criterio Sum squared resid Schwarz criterio Log likelihood F-statistic Durbi-Watso stat Prob(F-statistic)

14 Vol. 4, No. 5 Iteratioal Joural of Busiess ad Maagemet Table 5.3 Stock Market Volatility usig DGEN Idex Coefficiet Std. Error z-statistic Prob. GARCH C SUNDAY *** MONDAY *** TUESDAY WEDNESDAY THURSDAY *** Variace Equatio C RESID(-)^ GARCH(-) T-DIST. DOF R-squared Mea depedet var Adjusted R-squared S.D. depedet var.3403 S.E. of regressio.53 Akaike ifo criterio Sum squared resid Schwarz criterio Log likelihood F-statistic.587 Durbi-Watso stat Prob(F-statistic)