Academic researchers have spent considerable effort attempting to document and, with
limited success, to explain the tendency for asset returns to be negative on Monday. In …

Purpose The purpose of this paper is to examine the existence of the day-of-the-week effect
in the Indian stock market. Design/methodology/approach Generalized Autoregressive …

This study examines whether the adaptive market hypothesis (AMH) explains calendar
anomalies across 16 headline stock market indices in 10 markets. We employ the rolling …

This research note investigates whether or not calendar anomalies (such as the January,
day-of-the-week and turn-of-the-month effects) characterize the Russian stock market, which …

We examine Day-of-the-Week Effect anomaly and volatility in returns on Ghana Stock
Exchange (GSE) and Nairobi Stock Exchange (NSE) using daily closing price indices from …

The day-of-the-week effect for the securitized real estate indices is investigated by
employing daily data at the global, European and country level for the period 1990 to 2010 …

The present study has investigated the day of the week and weekend effect on index returns
and it's volatility in the Indian stock market using GARCH (1, 1) for Nifty 50, Nifty midcap 50 …

This paper investigates the anomalous phenomenon of the day-of-the-week effect on
Muscat securities market. The study uses a sample that covers the period from 1 December …

This paper investigates the presence of the month-of-the-year effect on stock returns and
volatility in eleven Asian countries-Hong Kong, India, Indonesia, Japan, Malaysia, Korea …

This paper investigates empirically the day-of-the-week effect on stock returns and volatility
of the Indian stock markets. The GARCH (1, 1), EGARCH (1, 1) and TGARCH (1, 1) models …