Evidence on the Day-of-the-Week Effect and Asymmetric Behavior in the Bombay Stock Exchange
This study examines the existence of day-of.the~week effect and asymmetrical market behavior in the Bombay Stock Exchange (BSE) over the post-9/11 and post-9/11 sub-periods. This study found the existence of significant positive Monday effect and negative Friday effect during the pre-9/l1 sub-period...
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| 主要な著者: | , |
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| フォーマット: | E-Article |
| 言語: | English |
| 出版事項: |
IUP Publications
2010
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| 主題: | |
| オンライン･アクセス: | http://ir.unimas.my/id/eprint/18633/7/Evidence%20on%20the%20Day%3Bof%3Bthe%3BWeek%20Effect%20%28abstract%29.pdf http://ir.unimas.my/id/eprint/18633/ http://www.iupindia.in/1005/ijaf.asp |
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| 要約: | This study examines the existence of day-of.the~week effect and asymmetrical market behavior in the Bombay Stock Exchange (BSE) over the post-9/11 and post-9/11 sub-periods. This study found the existence of significant positive Monday effect and negative Friday effect during the pre-9/l1 sub-period. Further analysis using the EGARCH and EGARCH-M models revealed the asymmetrical market reaction to the positive and negative news in BSE. Moreover, significant day-of-the-week effect is found present in BSE regardless of sub-periods, after controlling for time-varying variance and asymmetrical market behavior. |
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