An Empirical Investigation of the Day-of- the-Week Effect on Stock Returns and Volatility: Evidence from Muscat Securities Market

Mohamed Khaled Al-Jafari

Abstract


This paper investigates the anomalous phenomenon of the day-of-the-week effect on Muscat securities market. The study uses a sample that covers the period from 1 December 2005 until 23 November 2011. It also utilizes a nonlinear symmetric GARCH (1,1) model and two nonlinear asymmetric models, TARCH (1,1) and EGARCH (1,1). The empirical findings provide evidence of no presence of the day-of-the-week effect. However, unlike other developed markets, Muscat stock market seems to start positive and ends also positive with downturn during the rest of the trading days. In addition, the parameter estimates of the GARCH model (a and b ) suggest a high degree of persistent in the conditional volatility of stock returns. Furthermore, the asymmetric EGARCH, and TARCH models show no significant evidence for asymmetry in stock returns. The study concludes that Muscat securities market is an efficient market.


Full Text: PDF DOI: 10.5539/ijef.v4n7p141

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This work is licensed under a Creative Commons Attribution 3.0 License.

International Journal of Economics and Finance  ISSN  1916-971X (Print) ISSN  1916-9728 (Online)

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