The Day of the Week Effect of Stock Returns: Empirical Evidence from Five Selected Arab Countries

Eurasian Journal of Business and Management, 4(2), 2016, 55-64

10 Pages Posted: 7 Aug 2018

See all articles by Sedeaq Nassar

Sedeaq Nassar

Islamic University of Gaza - Department of Business Administration

Date Written: April 2, 2016

Abstract

This study examines the presence of one of the prominent anomalies which is the day of the week effect anomaly in five of Arab stock exchanges which are (Qatar, Amman, Palestine, Egypt, and Bahrain stock exchanges) cover the period from May 2010 to April 2014. By using one-way analysis of variance (ANOVA) analysis and Post Hoc Tests, the study indicates that there is no existence of the day of the week effect in each of (Qatar, Amman, Egypt, and Bahrain stock exchange) while it is presence in Palestine stock exchange where the lowest return is in Sunday (the first trading day of the week) and the highest return is in Tuesday.

Keywords: Market Efficiency, Efficient Market Hypothesis, Anomalies Effect

Suggested Citation

Nassar, Sedeaq, The Day of the Week Effect of Stock Returns: Empirical Evidence from Five Selected Arab Countries (April 2, 2016). Eurasian Journal of Business and Management, 4(2), 2016, 55-64, Available at SSRN: https://ssrn.com/abstract=3216384

Sedeaq Nassar (Contact Author)

Islamic University of Gaza - Department of Business Administration ( email )

Gaza-AlRimal
Palestine

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