Evidence on the Day-of-the-Week Effect and Asymmetric Behavior in the Bombay Stock Exchange

Chia, Ricky Chee-Jiun and Liew, Venus Khim-Sen (2010) Evidence on the Day-of-the-Week Effect and Asymmetric Behavior in the Bombay Stock Exchange. The IUP Journal of Applied Finance, 16 (6). pp. 17-29. ISSN 0972-510

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Abstract

This study examines the existence of day-of.the~week effect and asymmetrical market behavior in the Bombay Stock Exchange (BSE) over the post-9/11 and post-9/11 sub-periods. This study found the existence of significant positive Monday effect and negative Friday effect during the pre-9/l1 sub-period. Further analysis using the EGARCH and EGARCH-M models revealed the asymmetrical market reaction to the positive and negative news in BSE. Moreover, significant day-of-the-week effect is found present in BSE regardless of sub-periods, after controlling for time-varying variance and asymmetrical market behavior.

Item Type: E-Article
Uncontrolled Keywords: Asymmetric Behavior, stock exchange, economic, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak
Subjects: H Social Sciences > HB Economic Theory
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: ROSSAZANA AB RAHIM
Date Deposited: 21 Nov 2017 01:25
Last Modified: 21 Nov 2017 01:25
URI: http://ir.unimas.my/id/eprint/18633

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