2009•International Journal of Business and ManagementOpen access

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.

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Key concepts: Thursday, Names of the days of the week, Autoregressive conditional heteroskedasticity, Stock exchange, Econometrics, Stock (firearms), Statistics, Anomaly (physics)