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- Title
The Day-of-the-Week Effect in the Saudi Stock Exchange: A Non-Linear Garch Analysis.
- Authors
Ulussever, Talat; Yumusak, Ibrahim Guran; Kar, Muhsin
- Abstract
It is a well-known fact that the day-of-the-week effect in stock markets is one of the most prominent puzzling seasonal anomalies in finance and has been increasingly attracting attention from researchers and practitioners, as well as academics. This paper scrutinizes the day-of-the week effect in the emerging equity market of Saudi Arabia, TADAWUL. By using a non-linear GARCH model and covering the data from January 2001 to December 2009, the findings of the study reveal that the returns on the five trading days follow different process. This confirms that mean daily returns are significantly different from each other and validates the day-of-the week effect in TADAWUL.
- Subjects
SAUDI Arabia; STOCK exchanges; GARCH model; EMERGING markets; SECURITIES trading; STOCKS (Finance); TADAWUL FX SA
- Publication
Journal of Economic & Social Studies (JECOSS), 2011, Vol 1, Issue 1, p9
- ISSN
1986-8499
- Publication type
Article
- DOI
10.14706/jecoss11112