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

13 Pages Posted: 30 May 2019 Last revised: 4 Jun 2020

See all articles by Hashibul Hassan

Hashibul Hassan

Jagannath University - Department of Finance; Monash University - Department of Economics

Muhammad Saifuddin Khan

University of Technology Sydney (UTS) - School of Finance and Economics; University of Dhaka - Department of Finance

Date Written: October 31, 2019

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

Suggested Citation

Hassan, Md. Hashibul and Khan, Muhammad Saifuddin, Day-of-Week Effect on Stock Market Return, Volatility and Trade Volume: Evidence from Dhaka Stock Exchange (DSE) (October 31, 2019). Available at SSRN: https://ssrn.com/abstract=3383245 or http://dx.doi.org/10.2139/ssrn.3383245

Md. Hashibul Hassan (Contact Author)

Jagannath University - Department of Finance ( email )

Dhaka
Bangladesh

HOME PAGE: http://www.jnu.ac.bd

Monash University - Department of Economics ( email )

Australia

Muhammad Saifuddin Khan

University of Technology Sydney (UTS) - School of Finance and Economics ( email )

Haymarket
Sydney, NSW 2007
Australia
+61406520897 (Phone)

University of Dhaka - Department of Finance ( email )

Department of Finance
University of Dhaka
Dhaka, 1000
Bangladesh

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