DAY OF THE WEEK EFFECT OF ASIAN STOCK MARKETS
Keywords:
Day of the week effect, Augmented Dickey-Fuller, OLS RegressionAbstract
The objective of this paper is to observe the descriptive statistics and examine day of the week effect in four selected stock markets of Asian countries namely: India (Bombay Stock Exchange), Hong Kong (Hong Kong Stock Exchange), Japan (Tokyo Stock Exchange) and China (Shanghai Stock Exchange). The data includes daily adjusted closing index prices of Asian stock markets understudy. We have taken sample period of daily data from 1st Jan. 2000 to 31st March. 2011. We have also divided the data in three sub-periods, 1. Period 1: Sample from 05/01/2000 to 20/10/2003 2. Period 2: Sample from 21/10/2003 to 29/06/2007 3. Period 3: Sample from 03/07/2007 to 31/03/2011. We have used logarithm transformed stock price indices to neutralize their returns. BSE has given maximum average return on Wednesday; Hang Seng has given highest returns on Friday whereas, Nikkei and SSE Composite have given highest returns on Thursday and Wednesday respectively. The Monday was a day of high volatility in Asian markets understudy. The return distributions in all market were not normally distributed. The research suggests that there is no evidence of “day of the week effect” in the markets understudy during the period. This finding is also similar in all sub-periods
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