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Unlocking Market Secrets: Dynamics of the Day-of-the-Week Effect During Crisis in an Emerging Market
Abstract
Introduction: By examining the impact of the day of the week during the COVID-19 pandemic and the subsequent economic recession, it is possible to provide insights into market behaviour during volatile times that can be furnished to investors and policymakers for informed decisions.
Purpose: This study investigates the day-of-the-week effect on the Colombo Stock Exchange (CSE), with particular emphasis on the variations in this effect during the COVID-19 pandemic and the subsequent economic crisis.
Design/Methodology/Approach: The study applies the Exponential Generalised Autoregressive Conditional Heteroskedasticity (EGARCH) model, allowing for the evaluation of asymmetric responses to positive and negative shocks. The data span from January 2006 to December 2022 and are segmented into different periods: the entire sample, war and post-war periods, the COVID-19 pandemic and the economic crisis period, each reflecting distinct market conditions.
Findings: The study uncovers a significant day-of-the-week effect on the CSE. Mondays and Tuesdays typically show a negative effect, while Thursdays and Fridays display a positive impact. However, this pattern shifts notably during the COVID-19 pandemic, with all weekdays exhibiting significant positive impact, and varies further across different waves of the pandemic. The economic crisis period also shows unique weekday effects, particularly before and after an important political event.
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Market efficiency hypothesis suggests that markets are rational and their prices fully reflect all available information. Due to the timely actions of investors prices of stocks quickly adjust to the new information, and reflect all the available information. So no investor can beat the market by generating abnormal returns. But it is found in many stock exchanges of the world that these markets are not following the rules of EMH. The functioning of these stock markets deviate from the rules of EMH. These deviations are called anomalies. Anomalies could occur once and disappear, or could occur repeatedly. This literature survey is of its own type that discusses the occurrence of different type of calendar anomalies, technical anomalies and fundamental anomalies with their evidences in different stock markets around the world. The paper also discusses the opinion of different researchers about the possible causes of anomalies, how anomalies should be dealt, and what ere the behavioural aspects of anomalies. This issue is still a grey area for research.
Evidence from high-income countries suggests that the impact of COVID-19 on suicide and self-harm has been limited, but evidence from low- and middle-income countries is lacking. Using data from a hospital-based self-poisoning register (January 2019–December 2021) and data from national records (2016–2021) of suicide in Sri Lanka, we aimed to assess the impact of the pandemic on both self-poisoning and suicide. We examined changes in admissions for self-poisoning and suicide using interrupted time series (ITS) analysis. For the self-poisoning hospital admission ITS models, we defined the lockdown periods as follows: (i) pre-lockdown: 01/01/2019–19/03/2020; (ii) first lockdown: 20/03/2020–27/06/2020; (iii) post-first lockdown: 28/06/2020–11/05/2021; (iv) second lockdown: 12/05/2021–21/06/2021; and (v) post-second lockdown: 22/06/2021–31/12/2021. For suicide, we defined the intervention according to the pandemic period. We found that during lockdown periods, there was a reduction in hospital admissions for self-poisoning, with evidence that admission following self-poisoning remained lower during the pandemic than would be expected based on pre-pandemic trends. In contrast, there was no evidence that the rate of suicide in the pandemic period differed from that which would be expected. As the long-term socioeconomic impacts of the pandemic are realised, it will be important to track rates of self-harm and suicide in LMICs to inform prevention.
Across the globe, COVID-19 has disrupted the financial markets, making them more volatile. Thus, this paper examines the market volatility and asymmetric behavior of Bitcoin, EUR, S&P 500 index, Gold, Crude Oil, and Sugar during the COVID-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1, 1), and EGARCH (1, 1) econometric models on the daily time series returns data ranging from 27 November 2018 to 15 June 2021. The empirical findings show a high level of volatility persistence in all the financial markets during the COVID-19 pandemic. Moreover, the Crude Oil and S&P 500 index shows significant positive asymmetric behavior during the pandemic. Apart from this, the results also reveal that EGARCH is the most appropriate model to capture the volatilities of the financial markets before the COVID-19 pandemic, whereas during the COVID-19 period and for the whole period, each GARCH family evenly models the volatile behavior of the six financial markets. This study provides financial investors and policymakers with useful insight into adopting effective strategies for constructing portfolios during crises in the future.
The long-running financial crisis in Sri Lanka has put the country's government to its most significant test and caused great hardship for its citizens. Lanka is experiencing an economic and political emergency, with high expansion and erratic showings across the nation. The Sri Lankan government requires its citizens living abroad to send money home. Due to Sri Lanka's $51 billion in external obligations, 13 Lankan banks have been placed on rating watch negative. On the island paradise, inconvenience is in the making. There isn't any food available. Over the past few months, approximately 500,000 more Sri Lankans have become dependent. Basic medical procedures, prescriptions, and fuel are being discontinued. According to experts, the financial crisis may be more to blame for the deaths in Sri Lanka than the coronavirus. There are frequent blackouts and violent street brawls. The lack of force and the inability to obtain safe drinking water has made it extremely difficult to organize crisis healthcare services. There has been an intrusion into the security net projects. The situation in Sri Lanka is much more complicated than just a money crisis. There is a charitable emergency here. How could it have happened, and how did the public authority of Sri Lanka lose its money? are the only questions being asked. This exam paper's purpose is to provide answers to these questions. Additionally, the paper's author frames a thorough investigation of the problem and the causes of the financial emergency.
Changes to the trading calendar and the day of the week effect in returns and volatility of the Saudi Stock Exchange" AUTHORS Abdulelah Alsayari Guneratne Wickremasinghe ARTICLE INFO Abdulelah Alsayari and Guneratne Wickremasinghe (2022). Changes to the trading calendar and the day of the week effect in returns and volatility of the Saudi Stock Exchange. Abstract Until June 29, 2013, the trading days of the Saudi Stock Exchange (TADAWUL) were from Sunday to Wednesday. From June 29, 2013, TADAWUL changed trading days and started trading from Sunday to Thursday. This paper investigates whether this change has impacted the day-of-the-week effect on returns and volatility of the Saudi Stock Exchange. After estimating several GARCH-type models, the EGARCH (2,2) model was selected for the analysis. The study found that the stock return on the week's first trading day (Saturday) was positive during the previous trading calendar. In contrast, the current trading calendar observed a positive stock return on the last trading day of the week (Thursday). Further, a negative volatility exists at the end of the week during the previous trading calendar. At the beginning of the week, there is a high degree of positive volatility during the current trading calendar. These results indicate that the behavior of stock returns is different between the two trading calendar regimes. In addition, the behavioral patterns on other trading days suggest that the Saudi stock market does not conform to the weak form of the efficient market hypothesis. The above findings indicate that investors in the Saudi stock market could devise trading rules to predict the market index and earn abnormal returns consistently.
Purpose
This study aims to investigate the motives of mobile payment adoption from both customers' and retailers' perspectives in Sri Lanka during the COVID-19 pandemic period. It also aims to compare the motives of mobile payment adoption across rural and urban contexts.
Design/methodology/approach
The study employs a mixed-method approach with a concurrent research design. Both a survey of customers and in-depth interviews of managers in retail companies are used.
Findings
The study discloses that Performance Expectancy and Facilitating Conditions (PEFC), Hedonic Motivation (HM) and Perceived Technology Security (PTS) as, respectively, significant motives for customers to adopt mobile payment during this pandemic period. Such findings are confirmed by the four challenges disclose by the retailers. The unfamiliarity of customers, lack of employees' knowledge on mobile payment systems, poor management orientation and lack of computer literacy of customers are the main challenges from the retailers' perspectives. Further, it shows, though PEFC is a common motive, other motives are different across rural and urban.
Practical implications
The findings of the study are helpful for retailers and policymakers. Retailers can develop strategies to enhance mobile payment adoption through PEFC, HM and PTS by giving special attention to the rural community. The main motive possible to use in both rural and urban contexts is PEFC. Further, retailers should take the initiatives to uplift the technological know-how of their employees while inculcating supportive management orientation. Policymakers can use this study to develop policies to enhance the community's familiarity with mobile payment technology and computer literacy.
Originality/value
To the best of the authors’ knowledge, this is the first study to investigate motives for adopting mobile payments from both customers' and retailers' perspectives while being the first scrutiny to compare rural and urban scenarios. The use of mixed methods with concurrent research design also contributes to originality.
Purpose
This study aims to examine the short- and long-term equilibrium relationship between All share price index (ASPI), macroeconomic variables and the economic crisis in Sri Lanka.
Design/methodology/approach
Monthly time series data for inflation (CPI), industrial production (IP), an exchange rate (EX), an interest rate (TB), short-term interest rate (CD) and economic crisis were used from 2010 to 2021. The ADF test, the bound testing approach, the CUSUM test and the CUSUMQ test were used in this study.
Findings
The findings show a long-run stable relationship between stock price, macroeconomic variables and political crisis (i.e., CPI, IP, ER, TB, CD and economic crisis). The results of the Johansen cointegration test suggest that there is at least one cointegrating equation, indicating that there is a long-run equilibrium relationship between macroeconomic variables and stock prices in Sri Lanka.
Research limitations/implications
The vector error correction estimates show that the coefficient of the error correction term is significant with a negative sign, indicating that a long-run dynamic relationship exists between macroeconomic variables and stock prices. In the short term, economic crisis has had a big effect on stock prices suggesting that Sri Lanka’s domestic financial markets are linked to the stability of the country.
Originality/value
This research establishes the links between stock returns, macroeconomic variables and economic crisis. So far, research has been unable to establish the empirical nature of such links. The authors believe that this paper fills that gap.
Purpose
The purpose of this research is to investigate the short-term capital markets' reactions to the public announcement first local detection of novel corona virus (COVID 19) cases in 12 major Asian capital markets.
Design/methodology/approach
Using the constant mean return model and the market model, an event study methodology has been implied to determine the cumulative abnormal returns (CARs) of 10 pre and post-event trading days. The statistical significance of the data was assessed using both parametric and nonparametric test statistics.
Findings
First discovery of local COVID 19 cases had a substantial impact on all 12 Asian markets on the event day, as shown by statistically significant negative average abnormal return (AAR) and cumulative average abnormal return (CAAR). The single factor ANOVA result has also demonstrated that there is no variability among 12 regional markets in terms of short-term market responses. Furthermore, there is little evidence that these major Asian stock market indices differ significantly from the FTSE All-World Index which might suggest possible spillover impact and co-integration among the major Asian capital markets. The study further discovers that market capitalization and liquidity did not have any significant impact on market reaction to announcement.
Research limitations/implications
The study's contribution might have been compromised by the absence of socio-demographic, technical, financial and other significant policy factors from the analysis.
Practical implications
These findings will be considerably helpful in tackling this unprecedented epidemic issue for personal and institutional investors, industrial and economic experts, government and policymakers in assessing the market in special circumstances, diversifying risk and developing financial and monetary policy proposals.
Originality/value
This paper is the first to examine the effects of local COVID 19 detection announcement on major Asian capital markets. This study will add to the literature by investigating unusual market returns generated by infectious illness outbreaks and the overall market efficiency and investors' behavioral pattern of major Asian capital markets.
We verify the existence of firm-level “intraday return vs. overnight return” pattern and overnight-intraday effect of nine financial anomalies of Chinese energy industry stocks of the Chinese stock market. Though energy finance has been an independent research area, we also take Chinese A-shares stocks as samples for empirical analysis to avoid the so-called sample selection bias. Specifically, it verifies that the overnight returns are strongly negative and intraday returns are positive for energy industry stocks, which is totally contrary to the American stock markets. In addition, alphas of the zero-cost strategies based on nine classic financial anomalies are almost earned at night for energy industry stocks. Finally, it is risk-related anomalies that occur overnight for energy industry stocks, while both four risk-related anomalies and two firm characteristics related anomalies occur at night for all A-shares stocks. Our empirical findings based on Chinese financial markets enrich the existing research on the mispricing of financial anomaly and shed a new sight on the asset pricing in energy finance.
This paper studies the presence of the day-of-the-week (DOW) effect in the financial contagion process observed on individual economic sectors from the Post-Communist East European markets. The only markets that provide national-specific sector indices determined throughout the 2008 financial crisis are Poland, Romania and Russia. The novel methodology combines two existing perspectives from financial literature, by employing a GJR-GARCH framework on a dummy regression model that accounts for both the crisis period and the weekdays. All indices show the presence of the DOW effect during the crisis and/or non-crisis periods, thus signaling their low level of market efficiency. However, the contagion process affects only eight of these indices: the banking, IT and oil and gas sectors from Poland, the chemical, telecommunication and transport sectors from Russia and energy sectors from Russia and Romania. All of them show signs of the DOW effect in contagion: five exhibit higher spillovers on crisis Mondays, while the other three show other weekday patterns. The findings suggest that the DOW effect is not specific to certain countries or certain economic sectors.
Due to the rise in the demand for information communication technologies (ICT), the need for operational risk resilience within the European insurance market sector has grown exponentially. This study aims to use the case of blockchain to evaluate whether the five characteristics determined from the literature to be required for effective digital risk resilience (specifically, integration, flexibility, reliability, relevance, and timeliness) have an impact on effectiveness in addressing the requirements of the European Union’s proposed Digital Operational Resilience Act (DORA). To achieve this, we developed a survey with 29 statements, which participants were required to answer using a five-point Likert scale. In total, 513 valid responses were received from participants. These were analyzed using exploratory factor analysis (EFA), confirmatory factor analysis (CFA), and structural equation modeling (SEM). Results show that in the case of blockchain, reliability, flexibility, and relevance were found to significantly relate to its effectiveness in addressing DORA’s requirements, but relationships of effectiveness with integration and timeliness were found to be insignificant. However, when the experience variable was added to the model as the moderator variable, we found that timeliness and relevance have a significant relationship with blockchain effectiveness, while integration, reliability, and flexibility do not.
In India, the coronavirus (COVID-19) pandemic-induced country-wide regulatory lockdown and consequential supply-chain disruptions and market instability have all posed serious challenges before the regulators and policymakers. Amid the pandemic, the stock market showed return volatilities primarily due to the unexpected investors’ behaviour. One of the behavioural biases is herding, which has the power to wreck the market equilibrium and shatter the market efficiency. Given that the pandemic has generated unprecedented spirals of uncertainties across the globe, thereby creating interruptions in the pattern of stock market investment decisions, this study examined the herding behaviour of 54 stocks of banking and financial services sectors listed in the national stock exchange. In the quantile regression framework, the study provides evidence of the presence of herding for public sector banking and financial services under the bull market conditions during the pandemic in the 90th quantile of the return distribution. This finding has implications for the mispricing of financial assets in these sectors. So, the study suggests removing information asymmetry among the market participants and devising policy initiatives for ensuring market stability.
Instability in financial markets represents a considerable risk to investors; examples of instability include a market crash caused by systematic risks and abnormal stock price volatility caused by artificial hype. The early detection of abnormal behavior can help investors adjust their strategy and reduce investment risks. We proposed a spatiotemporal convolutional neural network–based relational network (STCNN-RN) model that can learn the complex correlations between multiple financial time-series data sets, and we used genetic algorithms with a constrained gene to discover the time points for outlier companies by fitting the STCNN-RN model; we used these outlier points to identify abnormal situations. Most research on identifying anomalous patterns has been unable to sufficiently explain the reason for anomalies to investors. We applied an interpretability model to enable investors to understand these anomalous time points in relation to companies and discover the key factors giving rise to the anomalies. The experiment results revealed that the proposed model can be used to model multiple financial time-series data sets and to capture anomalous situations in relevant companies. Because this study explored the discovery of anomaly phenomena in all transaction data and the explanation of these abnormalities, investors can understand a stock market situation holistically.
This study examines two stock market anomalies and provides strong evidence of the day-of-the-week effect in the Chinese A-share market during the COVID-19 pandemic. Specifically, we examined the Quality minus Junk (QMJ) strategy return on Monday and FridayQuality stocks mean portfolio deciles that earn higher excess returns. As historical evidences suggest that less distressed/safe stocks earn higher excess returns (Dichev, 1998).. The QMJ factor is similar to the division of speculative and non-speculative stocks described by Birru (2018). Our findings provide evidence that the QMJ strategy gains negative returns on Fridays for both anomalies because the junk side is sensitive to an elevated mood and, thus, performs better than the quality side of portfolios on Friday. Our findings are also consistent with the theory of investor sentiment which asserts that investors are more optimistic when their mood is elevated, and generally individual mood is better on Friday than on other days of the week. Therefore, the speculative stocks earned higher sustainable stock returns during higher volatility in Chinese market due to COVID-19. Intrinsically, new evidence emerges on an inclined strategy to invest in speculative stocks on Fridays during the COVID-19 pandemic to gain sustainable excess returns in the Chinese A-share market.
A highly transmittable and pathogenic viral infection, COVID-19, has dramatically changed the world with a tragically large number of human lives being lost. The epidemic has created psychological resilience and unbearable psychological pressure among patients and health professionals. The objective of this study is to analyze investor psychology and stock market behavior during COVID-19. The psychological behavior of investors, whether positive or negative, toward the stock market can change the picture of the economy. This research explores Shanghai, Nikkei 225, and Dow Jones stock markets from January 20, 2020, to April 27, 2020, by employing principal component analysis. The results showed that investor psychology was negatively related to three selected stock markets under psychological resilience and pandemic pressure. The negative emotions and pessimism urge investors to cease financial investment in the stock market, and consequently, the stock market returns decreased. In a deadly pandemic, the masses were more concerned about their lives and livelihood and less about wealth and leisure. This research contributes to the literature gap of investors’ psychological behavior during a pandemic outbreak. The study suggests that policy-makers should design a plan to fight against COVID-19. The government should manage the health sector’s budget to overcome future crises.
This paper has been empirically investigated the existence of the day‐of‐the‐week effect by using closing daily data for Nifty 50, Nifty 50 Midcap, Nifty 100, Nifty 100 Midcap, Nifty 100 Smallcap, and Nifty 200 for before and during the COVID‐19 health crisis. This study used secondary data for all indices over the period 1 April 2005–14 May 2020. The present study used both dummy variable regression and the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model. The total study period is divided into two sub‐periods, that is, during and before the COVID‐19 health crisis. A negative return is found for Mondays when the during‐COVID‐19 health crisis period is examined; in contrast, it was positive for the before COVID‐19 period. Tuesday's effect on index return is found statistically significant and positive for all indices during the COVID‐19 crisis.
The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is valid, and pointed out that the financial literature has substantial evidence of anomalies, so that many theories have been developed to explain some anomalies. To address the issue, this paper reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and clearly define the concept of market efficiency and the EMH. We discuss some efforts that challenge the EMH. We review different market anomalies and different theories of Behavioral Finance that could be used to explain such market anomalies. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and Behavioral Finance underlie. The review is also beneficial to investors for making choices of investment products and strategies that suit their risk preferences and behavioral traits predicted from behavioral models. Finally, when EMH, anomalies and Behavioral Finance are used to explain the impacts of investor behavior on stock price movements, it is invaluable to policy makers, when reviewing their policies, to avoid excessive fluctuations in stock markets.
This paper provides a conceptual framework on green initiatives adoption in companies operating in freight transport and logistics industry and presents an overview on the emerging green practices and information systems adopted. On the basis of a literature review on the topic, a research question was identified and addressed through an analysis conducted in a sample of freight transport and logistics companies. This research question regards the behaviours of freight transporters in adopting green practices and information systems. As for the adoption of both green practices and information systems, the paper shows that freight transporters are not a homogeneous industry, but different types of behaviour emerge. As for the relationship between the degree of adoption of green practices and information systems, the paper proposes a taxonomy bringing together sustainable strategies for adopting green initiatives. Specifically, four strategies are identified: sustainability leaders, green practice adopters, information system adopters, and sustainability followers. These sustainable strategies highlight the different phases of the process of adoption of green initiatives.
This paper aims to investigate the impact of environmental policy and training aspects on hotels' sustainability practices, as well as the impact of these practices on their environmental and financial performance. Based on survey data from 312 managers operating in tourism and hospitality industry, this study applies structural equation modelling. Empirical results reveal that hotels' environmental policy and training aspects are positively related to sustainability practices. Environmental communication has almost equal degree of impact on resource and energy conservation, whereas both resource conservation and energy conservation have a significant positive impact on both environmental and financial performance. The main findings of this research highlight that hotels are increasingly considering sustainability issues in their business models and strategies. These findings provide practical managerial implications for the development of tourism and hospitality industry in emerging countries.
This research examines calendar anomalies (day-of-the-week effect) on stock exchanges in the region. The main objective of the study is to examine the effect of days of the week on stock exchanges in the region in the period from 2008 to 2014, and whether there are differences in relation to the effects that occur during the crisis period from 2008 to 2011 and postcrisis period from 2012 to 2014. The subsample of the analysis shows different results due to an increase in the maturity of the capital market, the financial crisis, accession to the European Union and other important events for the financial markets in the region. The purpose of this paper is to determine whether the relationships between the average stock returns in emerging markets are the same or different across different days of the week. The study includes a quantitative analysis of the yield of stock exchange indices on a certain day that uses daily data from 01.01.2008 to 31.12.2014 for capital markets in Bosnia and Herzegovina, Bulgaria, Montenegro, Croatia, Macedonia, Romania and Serbia. The results of the study indicate the effect of the days of the week on all observed stock markets in the region, except for the stock market in Bulgaria. Obtained panel results support earlier studies conducted on emerging markets and provide evidence of stock market inefficiency.
Efficient market hypothesis (EMH), one of the central pillars of modern financial theories, often fails to explain the ‘financial anomalies’. One fatal challenge of EMH probably comes from the theoretical assumption of ‘rational man’. According to EMH, the fully rational investor may change his demand for financial assets on the basis of available information. According to EMH, at any given point of time, the stock price should reflect all the available information, and predictability of stock returns should be impossible. However, the literature shows ample evidence of abnormal returns related to firm and market specific attributes. In financial literature, these variations are often termed as ‘financial anomalies’. Within the framework of behavioural finance, there are research results that contain evidence on predictability of future stock market returns based on financial anomalies (Stanivuk et al., 2012). Value effect and momentum effect are the two prominent financial anomalies (Ho, 2012). This paper explores the predictability of Indian stock market returns using multiple discriminant analysis. Our result shows that the risk premium, momentum and value effect may have significant power for predicting the Indian stock market returns. The validity test of the model also corroborates the impact of financial anomalies over predictability of stock returns.
This study examines the calendar effects specially day of the week and monthly effects in the Colombo stock market. The study on the day of the week effect was done based on daily all share price index (ASPI) for the period January 2004 to June 2015 and the study on the month of the year effect employs based on monthly ASPI for the period January 1998 to June 2015. The calendar effects are examined by applying multiple regression ( OLS and GARCH models) using dummy variables. Regression results indicates significantly positive high returns on Friday while Monday returns are significantly negative returns in consistent with previous studies. In addition, the results shows a significantly positive returns on Wednesday and Thursday. In the case of monthly effect, there is significantly positive high returns in September in the Colombo stock market. effects. So, there is no evidence for January or April effect during the study period instead there is September effect in the Colombo stock market. These findings are important to the financial managers, financial analysts and investors. Understanding of these seasonality effects would help to them to take an investment decisions.
Abstract This study tests the presence of Day of the Week effect of returns on All Share Price
Index of Colombo Stock Exchange (CSE). It essentially examines random walk hypothesis in
determining the market efficiency. The daily returns over a period of 22 years from1991 to
2012 are tested using both parametric and non-parametric statistics. The study finds strong
evidence for day of the week effect, that the mean daily returns of every trading day of the
week are not equal. There is no evidence for random walk hypothesis. Friday returns are ...
Many empirical studies have been carried out both in the developed and developing economies to test the presence of anomalies in stock returns and volatility. The most commonly tested seasonal anomalies are day of the week effect, month of the year effect, holiday effect, Monday effect and Friday effect. Previous studies strongly support the existence of seasonal anomalies. Existence of seasonal anomalies let the investors to earn abnormal returns by trading on past information. This study attempts to test whether the day of the week effect is present in the stock returns of the Colombo Stock Exchange. For this purpose, stock returns based on ASPI for the period of 2002 to 2011 with 2390 observation are taken into account. The day of the week effect hypothesis is tested using both OLS model and GARCH (1,1) model. The research provides strong evidence to support the day of the week effect. Furthermore, there is a Thursday, Wednesday and Friday effect in the stock returns. Thus, investors can earn abnormal returns by trading on a strategy based on past information. It is recommended to buy stock on Mondays and Tuesdays and sell them on Wednesdays, Thursdays and Fridays to earn abnormal returns.
The main objective of this paper is to investigate the presence of the-day-of-the week and the-month-of-the-year effects in the Romanian equity market, using Bucharest Stock Exchange returns between 2000 and 2011. While we observe the presence of Thursday effect in Romanian equity market, we do not find any traditional Monday or January effect for the entire sample period. Furthermore, we observe the January effect during pre-crisis period. However, the subsample analysis provides very different results, perhaps due to increasing degree of capital market maturity, EU accession and other important events, such as the financial crisis. It follows that the Romanian equity market is reasonably efficient, where prices reflect all publicly available information and no trading rule and market timing can be used to generate abnormal returns. (C) 2012 Published by Elsevier Ltd. Selection and/or peer review under responsibility of Emerging Markets Queries in Finance and Business local organization
This paper investigates the anomalous phenomenon of the day-of-the-week effect on Muscat securities market. The study uses a sample that covers the period from 1 December 2005 until 23 November 2011. It also utilizes a nonlinear symmetric GARCH (1,1) model and two nonlinear asymmetric models, TARCH (1,1) and EGARCH (1,1). The empirical findings provide evidence of no presence of the day-of-the-week effect. However, unlike other developed markets, Muscat stock market seems to start positive and ends also positive with downturn during the rest of the trading days. In addition, the parameter estimates of the GARCH model (a and b ) suggest a high degree of persistent in the conditional volatility of stock returns. Furthermore, the asymmetric EGARCH, and TARCH models show no significant evidence for asymmetry in stock returns. The study concludes that Muscat securities market is an efficient market.
The presence of the day-of-the-week effect has been documented in finance literature. This paper investigates the presence of the day-of-the-week effect and return volatility in ten East-Asian financial markets in the post Asian financial crisis period, after 1998. A set of parametric and non-parametric tests is used to test the equality of mean returns and standard deviations of returns. The results indicate the presence of the day-of-the-week effect and insignificant daily returns volatility in most markets. Some of these results reinforce some previously documented evidence and others are at variance with published results for the same markets. This effect, unlike in developed markets, is still persistent.
This study aims to investigate the impact of the COVID-19 pandemic on businesses , their operations, and the financial conditions in Sri Lanka. A sample of 19 executive-level employees from 19 companies registered at the Colombo Stock Exchange in Sri Lanka was interviewed. The thematic analysis method was used to analyse the data. It demonstrates the insecurity of the current business situation, as with the pandemic, most large-scale operating companies have been permanently or temporarily closed. The financial condition was categorised into main sub-themes such as business profitability, liquidity problems, the balance of payments, working capital, and cash flows and was highly impacted during the COVID-19 outbreak. The findings of the study Digital Transformation, Strategic Resilience, Cyber Security and Risk Management NARAYANAGE JAYANTHA DEWASIRI ET AL. help to improve the favourable image of Sri Lankan companies by facilitating solutions to overcome the challenges and difficulties and are beneficial for the relevant government parties to amend policies and for investors to make prudent investment decisions. As a maiden study, this one focused on investigating the pandemic's impact on business operations and developed a nine-step plan for organisations, employees, and the government to minimise the impact of COVID-19 on their businesses.
The emergence of COVID-19 emanating from Wuhan, China in December 2019 has deeply affected society at every level, impacting areas like public health, social well-being, and local economies globally. The study highlights mental health and its impact on social behavior during pandemics. The authors analyze Sri Lankan individuals' mental health issues through tweets presented using sentiment analysis techniques. A rigorous data preparation process was completed before filtering categorized data into three distinct groups: ‘experience', ‘information', and ‘counseling'. Three different machine learning algorithms were utilized for sentiment analysis, including ANN, LSTM, and SVM. In addition, the Latent Dirichlet Allocation technique was employed to identify topics from tweets during four waves of the COVID-19 outbreak, analyzing people's mental status and identifying conditions present. The findings contribute significantly to the evolving field of psychology during these trying times caused by COVID-19, providing much-needed guidance on implementing relevant support mechanisms.
Purpose
This paper aims to examine the present Sri Lankan political-economic crisis and its connection to corruption. The paper will discuss the autocratic rule, elite domination of state extractive systems, which have been moulded and configured by Sri Lanka’s political environment over decades. Elite capture has become a significant factor. Sri Lanka’s authoritarian model exercised by Gotabaya Rajapaksa reduced competitive mode and shifted towards a monopolistic corruption structure, centralising on the first family and military rule where powerful elites supported the model. The paper attempts to find the connection between dysfunctional political model and economic crimes committed through several case studies.
Design/methodology/approach
The paper discusses five case studies using qualitative analysis using secondary data. The insider trading case study is discussed with quantitative data. Several political and social analyses were carried out with primary data captured from field research by the author.
Findings
Sri Lankan economic crisis was triggered because of high-level corruption. The autocratic model introduced by the political authority failed to fight corruption. Transnational mechanisms will fail if there is no credibility and commitment in their own respective nations such as in the USA. External factors such as China in Sri Lanka did have an impact for elite capture.
Research limitations/implications
This study is limited only to five case studies. Transnational mechanism and recommendations require a lengthy study. Only one external factor was assessed because of its significance; there could be other external factors for elite capture.
Practical implications
This study has limited access to capture primary data because of sensitivity during a heavy autocratic regime. Because of state and self-censorship, secondary data had to be tested.
Social implications
Economic crisis in Sri Lanka is an example to many developing nations fighting corruption. The autocratic family rule supported by external forces crippled the state anti-corruption processes. Economic crime is a key driver for poverty and economic crisis.
Originality/value
This is a unique paper that examines Sri Lanka’s present economic crisis and its political model and economic crime. The paper will discuss transnational mechanisms for anti-corruption and attempt to apply to the Sri Lankan crisis.
Purpose
The purpose of this paper is to examine the existence of the day-of-the-week effect in the Indian stock market.
Design/methodology/approach
Generalized Autoregressive Conditional Heteroskedasticity (GARCH) (1, 1), Exponential GARCH (EGARCH) (1, 1) and Threshold GARCH (TGARCH) (1, 1) models are employed to examine the day-of-the-week effect in the Indian stock market for the period of 28 years from 3rd July, 1990 to 31st March, 2022.
Findings
The empirical results derived from the GARCH models indicate the existence of day-of-the-week effects on stock returns and volatility of the Indian stock market. The study reveals that all the days of the week are positive and significant in National Stock Exchange (NSE)-Nifty market returns. The findings confirm the persistence of ARCH and GARCH effects in the daily return series. Moreover, the asymmetric GARCH models show that the daily stock returns exhibit significant asymmetric (leverage) effects.
Practical implications
The results of this study established that the Indian stock market is not efficient and there exists an opportunity to the traders for predicting the future prices and earning abnormal profits in the Indian stock market. The findings of the study are important for traders, investors and portfolio managers to earn abnormal returns by cross-border diversification.
Originality/value
First, to the best of the authors' knowledge, this paper is the first to study the day-of-the-week effect in Indian stock market considering the most recent and longer time period (1990–2022). Second, unlike previous research, this study used GARCH models (GARCH, EGARCH and TGARCH) to capture the volatility clustering in the data.
Purpose
The paper investigates the dynamic relationship among the stock markets of South Asian Association of Regional Cooperation (SAARC) countries during the COVID-19 pandemic.
Design/methodology/approach
Daily time-series data of four SAARC countries: India, Bangladesh, Pakistan, and Sri Lanka, from February 13th, 2013 to March 31st, 2021 are used. The study considers stock prices prior to the blowout of COVID-19 and during the onset of the pandemic. The novel estimation procedure of the autoregressive distributed lag model is used while the results are also confirmed by post-estimation techniques.
Findings
The study confirms that the COVID-19 contagion has adversely influenced the stock returns of SAARC countries. The findings signify that the pattern of cointegration has significantly different regularities in the pattern of causality in the long run and short run during the COVID-19 crisis. Overall, the study revealed that the COVID-19 pandemic has weakened the dynamic connection among the stock markets of SAARC countries.
Practical implications
To dampen uncertainties generated by the COVID-19 pandemic, the authorities and central banks should be equipped with efficient strategies and guidelines to cope with the crisis created by the pandemic. Further, governments should focus on assuaging the panic faced by investors and enhancing the confidence of domestic as well as foreign investors. Further, the weakened integration of financial markets during the crisis offers opportunities for speculative and arbitrage gains for investors.
Originality/value
The research work is an innovative effort to analyze the impression led by COVID-19 on the SAARC stock markets integration.
This study aims to identify and explain the effect of the day of the week on the return of stocks listed on the Amman Stock Exchange (ASE), where some days of the week have higher/lower returns than others. It also aims to find if the market follows a significant pattern and determine whether the day of the week anomaly exists over the study time. Using the Free Float Index ASE100 through all days of the week from 2011 to 2019, the study adopted a descriptive-analytical approach; also, data analysis includes an Ordinary Least Square statistical approach. Results indicated that the study's data is normally distributed using the Kolmogorov-Smirnov test; moreover, it was observed that there was a difference in stocks' returns based on the difference in weekdays. In addition, there is the day of the week effect on the return of stocks listed on ASE, where Thursday was the highest return, which was due to the instructions of criteria for the solvency of brokerage companies operating on the stock exchange that states all brokers shall collect the balances of accounts receivables resulting from buying securities on credit within one week. As a result, Wednesday ranks second to Thursday in returns. Additionally, the results concluded that there is no effect of two days in a week on returns of stocks listed on ASE represented by Sunday and Monday, where Tuesday mediate the working days in the week. The study recommends investigating other anomalies that might affect ASE, using the same index and other indexes that, perhaps, unexpected outcomes will be presented, especially since ASE is an emerging market.
Using daily data from January 2, 2020 to May 31, 2021, this study empirically examines the day-of-the-week effect in the Malaysian stock market during the coronavirus disease 2019 (COVID-19) outbreak. We also test the impact of the lockdown policy and market sentiment index on the stock market. We resort to ordinary least square regression with generalized autoregressive conditional heteroscedasticity specification. The finding shows that the day-of-the-week effect persisted during the COVID-19 outbreak. Monday’s returns on all selected indices were negative except for the access, certainty, efficiency market. The positive impact of the lockdown policy on Bursa Malaysia is identified after accounting for the day-of-the-week effect. This is due to the market expectation that the lockdown policy can stop the spread of COVID-19, which will lead to recovery. Further analysis uncovers that smaller capitalization stocks benefited more from the government lockdown policy announcements, which come with various stimulus packages that are more favorable to smaller companies. We also find that the United States market sentiment index negatively impacts all indices. This study unlocks and validates the contribution on calendar anomalies’ response during the COVID-19 period for Malaysia. The investment opportunity is available even during the pandemic era, leading to sustainable profit in the long term.
This study investigates daily stock market anomalies in the African stock markets, using two most representative stock index ETFs, each over at least eleven-year time period spanning from pre-financial crisis era to ten years into the financial crisis. This research attempts to test the presence of the weekend effect on stock returns in the African stock exchanges during the financial crisis. The results indicate a significant negative effect on Mondays. Our results shed some light on the degree of market efficiency in one of the major emerging capital markets in the world.
We propose a new approach to test for financial contagion, which accounts for the existence of day-of-the-week effects in stock returns. For a set of European markets, we provide evidence that contagion effects from the U.S. during the 2007-9 financial crisis varied across days of the week.
Purpose
The major objective of this research is to investigate the existence of volatility-based anomalies in Indian stock market, which are the result of various behavioural biases. The nature of Indian stock market volatility is investigated employing various volatility models such as spillover effect profoundly acknowledged as herding, leverage effect prominently entitled as low volatility anomaly and persistence of long- and short-term volatility.
Design/Methodology/Approach
The present study has employed various autoregressive conditional heteroscedasticity (ARCH) family models such as generalised autoregressive conditional heteroscedasticity (GARCH), exponential GARCH (EGARCH) and component GARCH (CGARCH) to appraise assorted nature of volatility patterns in Indian stock market.
Findings
The results empirically validate that herding endures in both bullish and bearish trend, whereas herding has amplified for Nifty and Smallcap in bearish trend. Furthermore, the results divulge the existence of stock market inefficiency due to low volatility anomaly. The outcomes pragmatically verify the persistence of volatility in long and short run. The empirical evidences also assist in acknowledging the degree of subsistence of anomalies and biases in market uptrends and downtrends in order to comprehend the level of rationality of investors in diverse market situations.
Practical Implications
Various GARCH models, employed in the study, alleviate a direction for forecasting as regards volatility to assemble optimum portfolio in diverse market situations.
Originality/Value
The present study gives a distinctive insight on the existence of volatility-based anomalies using exclusive econometric models. It informs about the market anomalies and states about the most prominent bias.
It has generally been assumed that the daily returns are the same for all days of the week. That is, expected return on a given stock is the same for Monday as it is for Tuesday as it is for Wednesday as it is for Thursday and as it is for Friday. However, a number of studies have uncovered the evidence that have been refused this belief. The day of the week effect is a phenomenon that constitutes a form of anomaly of the efficient capital market theory. This research study aims at analyzing the impact of day of the week effect on stock returns in the Colombo Stock Exchange. The main source of data for this research is the daily All Share Price Index of Colombo Stock Exchange for a sample period starting from 02nd January 1985 to 31st December 2004. To investigate the day of the week effect in relation to stock returns both descriptive statistics and autoregressive model were used. To test the day of the week effect four dummy variables, Tuesday through Friday, and five-lag variable to test lag effect have been introduced in the autoregressive model. The finding of the descriptive statistical analysis shows that there is a day of the week effect in stock returns at the Colombo Stock Exchange. However, the trend of this effect is not similar over the sample period. This may be due to the changing socio economic and political conditions of the island. The first finding of this research from the autoregressive model is that there is statistically significant day-of-the week-effect in stock returns of the Colombo Stock Exchange for the overall sample period, and Friday returns are significantly higher compared to the other days. The second finding is that there are lag effects existing in stock returns relating to the day of the week effect.
This study examines day-of-the-week effects using hourly values of the Dow Jones Industrial Average. We find that over the 1963–1983 period the weekend effect has sifted from characterizing active trading on Monday to characterizing the non-trading weekend. Over the early part of our sample period negative returns characterize each hour of trading on Monday, while the return from Friday close to Monday open is positive. In the most recent subperiod, Monday average hourly returns after noon are all positive and the weekend effect is due to negative average returns from Friday close to Monday open.
Purpose
The purpose of this paper is to examine the impact of the future of trading on volatility as well as the efficiency of the stock market of BRIC (Brazil, Russia, India and China) countries. This study also investigates the presence of day‐of‐the‐week effect in BRIC countries' stock market.
Design/methodology/approach
This study uses closing prices of IBrx‐50 for Brazil, RTSI for Russia, Nifty for India and CSI300 for China to represent the stock market of BRIC countries. The Run and ACF tests are used to see impact on market efficiency. GARCH M model is used to see the impact on volatility and day‐of‐the week effect.
Findings
The insignificant coefficient of variance in the conditional mean equation of GARCH M implies that the market doesn't provide higher returns during the high volatility period. The results of the Run test showed that the Russian stock market became efficient after introduction of future trading. However, ACF showed no effect of introduction of future trading on autoregressiveness of stock returns. The result of GARCH M indicates that future trading led to reduction in the volatility of the Indian stock market. There are some evidences of presence of day‐of‐the‐week effect in the Indian stock market.
Practical implications
This paper will help regulators to form appropriate policies as the market would have to pay a certain price, such as loss of market efficiency, for the sake of market stabilization. This will also help investors to make investment decisions, especially investing in these indices as the existence of the significant day‐of‐the‐week effect and the inefficiency in the stock market would be very useful for developing investment strategies.
Originality/value
This paper will be useful for both investors and regulators in decision making.