The Day-of-the-Week Effect in the Saudi Stock Exchange: A Non-Linear Garch Analysis

The Day-of-the-Week Effect in the Saudi Stock Exchange: A Non-Linear Garch Analysis

ULUSSEVER , Talat
GURAN YUMUSAK, Ibrahim
KAR, Muhsin

It is a well-known fact that the day-of-the-week effect in stock markets is one of the most prominent puzzling seasonal anomalies in finance and has been increasingly attracting attention from researchers and practitioners, as well as academics. This paper scrutinizes the day-of-theweek effect in the emerging equity market of Saudi Arabia, TADAWUL. By using a non-linear GARCH model and covering the data from January 2001 to December 2009, the findings of the study reveal that the returns on the five trading days follow different process. This confirms that mean daily returns are ignificantly different from each other and validates the day-of-the-week effect in TADAWUL.

Article
PeerReviewed

ISSN 1986 – 8502

International Burch University

2011-01

1051