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The Day of the Week Effect of Stock Returns: Empirical Evidence from Five Selected Arab Countries

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  • Sedeaq Nassar

    (Marmara University, Turkey)

Abstract

This study examines the presence of one of the prominent anomalies which is the day of the week effect anomaly in five of Arab stock exchanges which are (Qatar, Amman, Palestine, Egypt, and Bahrain stock exchanges) cover the period from May 2010 to April 2014. By using one-way analysis of variance (ANOVA) analysis and Post Hoc Tests, the study indicates that there is no existence of the day of the week effect in each of (Qatar, Amman, Egypt, and Bahrain stock exchange) while it is presence in Palestine stock exchange where the lowest return is in Sunday (the first trading day of the week) and the highest return is in Tuesday.

Suggested Citation

  • Sedeaq Nassar, 2016. "The Day of the Week Effect of Stock Returns: Empirical Evidence from Five Selected Arab Countries," Eurasian Journal of Business and Management, Eurasian Publications, vol. 4(2), pages 55-64.
    • Handle: RePEc:ejn:ejbmjr:v:4:y:2016:i:2:p:55-64
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    References listed on IDEAS

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