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THE DAY OF THE WEEK EFFECT: UNCONDITIONAL AND CONDITIONAL MARKET RISK ANALYSIS

International journal of economics and financial issues, 2020-01, Vol.10 (6), p.94-98 [Peer Reviewed Journal]

2020. This work is published under http://creativecommons.org/licenses/by/4.0/ (the “License”). Notwithstanding the ProQuest Terms and conditions, you may use this content in accordance with the terms of the License. ;ISSN: 2146-4138 ;EISSN: 2146-4138 ;DOI: 10.32479/ijefi.10610

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  • Title:
    THE DAY OF THE WEEK EFFECT: UNCONDITIONAL AND CONDITIONAL MARKET RISK ANALYSIS
  • Author: Chaouachi, Olfa ; Dhaou, Imen
  • Subjects: Securities markets ; Stock exchanges
  • Is Part Of: International journal of economics and financial issues, 2020-01, Vol.10 (6), p.94-98
  • Description: The objective of our investigation is to test empirically the existence of the day of the week effect on the Canadian stock market between September 2009 and August 2019. Our findings show that the day of the week effect is present. The highest and lowest mean daily returns of the S&P/TSX Composite index are detected on Tuesday and Monday, respectively. Moreover, we try to give an explanation of the day of the week effect by referring to the world market risk. Using unconditional and conditional models, our results reveal that only the significant Monday effect is still present after accounting for world market risk. Then, we can deduce that the Monday effect in returns of the S&P/TSX Composite index is not explained by the risk-return relationship and that it is an anomaly of the Canadian stock market.
  • Publisher: Mersin: EconJournals
  • Language: English
  • Identifier: ISSN: 2146-4138
    EISSN: 2146-4138
    DOI: 10.32479/ijefi.10610
  • Source: Open Access: DOAJ Directory of Open Access Journals
    AUTh Library subscriptions: ProQuest Central
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