Stock Market Anomaly: Day of the Week Effect in Dhaka Stock Exchange
- Md. Lutfur Rahman
Abstract
This paper examines the presence of day of the week effect anomaly in Dhaka Stock Exchange (DSE). Several hypotheses have been formulated; dummy variable regression and the GARCH (1, 1) model were used in the study. The result indicates that Sunday and Monday returns are negative and only positive returns on Thursdays are statistically significant. Result also reveals that the mean daily returns between two consecutive days differ significantly for the pairs Monday-Tuesday, Wednesday-Thursday and Thursday-Sunday. Result also shows that the average daily return of every working day of the week is not statistically equal. Dummy variable regression result shows that only Thursdays have positive and statistically significant coefficients. Results of GARCH (1, 1) model show statistically significant negative coefficients for Sunday and Monday and statistically significant positive coefficient for Thursday dummies.- Full Text:
PDF
- DOI:10.5539/ijbm.v4n5p193
Journal Metrics
Google-based Impact Factor (2023): 0.86
h-index(2023): 152
i10-index(2023): 1168
Index
- Academic Journals Database
- ACNP
- AIDEA list (Italian Academy of Business Administration)
- ANVUR (Italian National Agency for the Evaluation of Universities and Research Institutes)
- Berkeley Library
- CNKI Scholar
- COPAC
- EBSCOhost
- Electronic Journals Library
- Elektronische Zeitschriftenbibliothek (EZB)
- EuroPub Database
- Excellence in Research for Australia (ERA)
- Genamics JournalSeek
- GETIT@YALE (Yale University Library)
- IBZ Online
- JournalTOCs
- Library and Archives Canada
- LOCKSS
- MIAR
- National Library of Australia
- Norwegian Centre for Research Data (NSD)
- PKP Open Archives Harvester
- Publons
- Qualis/CAPES
- RePEc
- ROAD
- Scilit
- SHERPA/RoMEO
- Standard Periodical Directory
- Universe Digital Library
- UoS Library
- WorldCat
- ZBW-German National Library of Economics
Contact
- Stephen LeeEditorial Assistant
- ijbm@ccsenet.org