Day-of-Week Effect on Stock Market Return, Volatility and Trade Volume: Evidence from Dhaka Stock Exchange (DSE)

Abstract

This paper estimates the day-of-the-week effect on the market return, volatility of market returns and trade volume of DSE using conditional variance model. Empirical results of this paper indicate that the day-of-the-week effect in DSE does exist in case of market return, volatility of market return and trade volume over the study period of 2005 to 2018. It is evident that lowest return, highest volatility, and lowest trading volume occur on the Sundays. Returns of Mondays and Wednesdays are significantly low; however, trade volume is low on Mondays and high on Wednesdays. The patterns of volatility manifest in this study, nevertheless, do not disprove the public information release hypothesis. After two days break of trading, investors start their trading on Sunday with lots of new information, which lead to more adjustments in portfolios and thus produces higher volatility.

Keywords: Day of the Week Effect; Volatility; Trade Volume; GARCH; Dhaka Stock Exchange

JEL Classification: G12, G14