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: 28 Jun 2019
Date Written: May 6, 2019
This study aims to estimate the day of the week effect on the volatility of market returns and trade volume of DSE using conditional variance model. Estimates of various models used in this study indicate that the day of the week effect in DSE is present in case of return, volatility of return and trade volume. It is evident that lowest return, highest volatility, and lowest trading volume occur on Sundays. Returns of Mondays and Wednesdays are significantly low, however, trade volume is low on Mondays and high on Wednesdays. The volatility patterns found in the 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: Suggested Citation