Day of the Week Effect on Assets Return: Case of the Stock Exchange of Casablanca

Abstract

There is an extensive amount of financial literature which focuses on the relationship between the day of the week effect and the returns assets. This relation is developed well by several researchers. Whereas, the obtained results to differentiate from a study to the other one. Thus, day-of-the-week effect on financial assets returns has been extensively discussed and abundant researches can be found in academic literatures. In our work we try to examine the impact of the days of the week on returns on the share prices of the Moroccan firms listed in the stock exchange of Casablanca during a period of 3 years (in 01/01/2008 - 31/12/2010). The results showed that Friday was a statistically significant positive return on assets. While that on Wednesday, has a statistically significant negative return on assets. Finally, return on assets at time t depends on that at time (t-1).

Keywords: Days of the week, return assets, Stock Exchange of Casablanca, daily yield, dummy variables.