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Analyzing the Day of the Week Effect: A Study on Stock Market Returns

Author

Listed:
  • Norashikin Adam

    (Faculty of Business and Management, Universiti Teknologi MARA, Alor Gajah Campus, Melaka, Malaysia)

  • MSiti Musliha Mohd Idris

    (Faculty of Business and Management, Universiti Teknologi MARA, Alor Gajah Campus, Melaka, Malaysia)

  • Khairunnisa’ Yussof

    (Faculty of Business and Management, Universiti Teknologi MARA, Alor Gajah Campus, Melaka, Malaysia)

  • Norzahidah Yacob

    (Faculty of Business and Management, Universiti Teknologi MARA, Alor Gajah Campus, Melaka, Malaysia)

  • Wan Rasyidah Wan Musa

    (Faculty of Business and Management, Universiti Teknologi MARA, Alor Gajah Campus, Melaka, Malaysia)

Abstract

The study investigates the Day of the Week (DOW) effect on stock market returns in Malaysia, Indonesia, and the Dow Jones Islamic Market Index (DJIM). Utilizing GARCH models to examine stock return volatility, the study identifies significant calendar anomalies in stock returns, particularly lower returns on Mondays and higher returns on Fridays. These findings challenge the Efficient Market Hypothesis (EMH), suggesting predictable patterns in markets, particularly in emerging economies. This research provides insights into investor behavior and trading strategies, offering practical implications for market practitioners and academics.

Suggested Citation

  • Norashikin Adam & MSiti Musliha Mohd Idris & Khairunnisa’ Yussof & Norzahidah Yacob & Wan Rasyidah Wan Musa, 2024. "Analyzing the Day of the Week Effect: A Study on Stock Market Returns," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 8(9), pages 1843-1853, September.
    • Handle: RePEc:bcp:journl:v:8:y:2024:i:9:p:1843-1853
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    References listed on IDEAS

    as
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    3. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    4. Syed Basher & Perry Sadorsky, 2006. "Day-of-the-week effects in emerging stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 13(10), pages 621-628.
    5. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    6. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    7. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, vol. 54(4), pages 579-596, October.
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