"Day of the week" and its effect on stock market volatility: Evidence from an emerging market
Author's Department
Management Department
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https://doi.org/10.19030/jabr.v29i6.8210
Document Type
Research Article
Publication Title
Journal of Applied Business Research
Publication Date
1-1-2013
doi
10.19030/jabr.v29i6.8210
Abstract
This paper investigates the "day of the week" effect in the volatility of the Saudi Stock Exchange during the period between January 7, 2007 and April 1, 2013. Using a conditional variance framework, we find that the "day of the week" effect is present in the volatility. Our results show that the lowest volatility occurs on Saturdays and Sundays. We argue that due to the closure of international markets on Saturdays and Sundays, there is not enough activity in the Saudi Stock Exchange. As a result, the volatility is the lowest on these days. Our results also show that the highest volatility occurs on Wednesdays. We argue Wednesday, being the last trading day of the week, corresponds with the start of four non-trading days (Thursday through Sunday) for foreign investors. Fearing that they will be stuck up with stocks in case some unfavorable information enters the market, foreign investors tend to exit the market on Wednesdays. As a result of excessive trading, there is high volatility on Wednesdays. © author(s) Creative Commons License CC-BY.
First Page
1727
Last Page
1736
Recommended Citation
APA Citation
Farooq, O.
Bouaddi, M.
&
Ahmed, N.
(2013). "Day of the week" and its effect on stock market volatility: Evidence from an emerging market. Journal of Applied Business Research, 29(6), 1727–1736.
10.19030/jabr.v29i6.8210
https://fount.aucegypt.edu/faculty_journal_articles/2025
MLA Citation
Farooq, Omar, et al.
""Day of the week" and its effect on stock market volatility: Evidence from an emerging market." Journal of Applied Business Research, vol. 29,no. 6, 2013, pp. 1727–1736.
https://fount.aucegypt.edu/faculty_journal_articles/2025