Evidence on the Day-of-The-Week Effect and Asymmetric Behavior in the Bombay Stock Exchange

The IUP Journal of Applied Finance, Vol. 16, No. 6, pp. 17-29, October 2010

Posted: 1 Dec 2010

See all articles by Venus Khim-Sen Liew

Venus Khim-Sen Liew

Universiti Malaysia Sarawak

Ricky Chee-Jiun Chia

Universiti Malaysia Sabah; Yokohama National University - Graduate School of International Social Sciences

Date Written: November 29, 2010

Abstract

This study examines the existence of day-of-the-week effect and asymmetrical market behavior in the Bombay Stock Exchange (BSE) over the pre-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-9/11 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.

Suggested Citation

Liew, Venus Khim-Sen and Chia, Ricky Chee-Jiun, Evidence on the Day-of-The-Week Effect and Asymmetric Behavior in the Bombay Stock Exchange (November 29, 2010). The IUP Journal of Applied Finance, Vol. 16, No. 6, pp. 17-29, October 2010, Available at SSRN: https://ssrn.com/abstract=1716775

Venus Khim-Sen Liew (Contact Author)

Universiti Malaysia Sarawak ( email )

Faculty of Economics and Business
Kota Samarahan, Sarawak 94300
Malaysia
+6082582415 (Phone)
+6082671794 (Fax)

HOME PAGE: http://www.feb.unimas.my/

Ricky Chee-Jiun Chia

Universiti Malaysia Sabah ( email )

Kota Kinabalu, Sabah
Malaysia

Yokohama National University - Graduate School of International Social Sciences ( email )

Yokohama
Japan

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