Stock Market Anomaly: Day-of-the-Week Effect on Market Return, Volume and Volatility in SAARC countries
Author: Sumra Abbas

This study investigates extent of market efficiency and presence of day of week effect in return and volume for period 1999 to 2014 in four major SAARC countries, namely Pakistan, Bangladesh, India and Sri Lanka for the period 1999 to 2014.The day of week anomaly is detected by using day of week dummies in ARMA model by Ordinary Least Square. The GARCH-M model is applied to examine the effect on volatility and to see that investor is getting reward for facing volatility risk. The asymmetry in volatility is estimated by TGARCH-M and EGARCH-M. The evidence shows the presence of day-of-the-week effects in returns and volume in Pakistan, India, Bangladesh and Sri Lanka. The results also indicate that asymmetric volatility behavior is present in all of four markets. However, day of week effects and asymmetric effects detected in studied markets may be possibly to due to over-reaction and under-reaction of investors or psychological behavior of investor on particular day of week. Presence of day of week effect and volatility pattern implies that investor that can earn abnormal returns in studied market by taking into account both risk and return and how good and bad news impact the stock returns. Supervisor:- Dr.Attiya Yasmin Javaid

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Keywords : Asymmetric Volatility, Day-of-the-Week Effect, EGARCH-M, Engleng Test, TGARCH-M
Supervisor: Attiya Yasmin Javid

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