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Calendar anomolies and stock market volatility in selected Arab stock exchanges

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  • Ahmed Kamaly
  • Eskandar Tooma

Abstract

While seasonal effects for both advanced and emerging markets have been investigated extensively in mean and variance equations, Arab region asset markets have received much less attention. The objective of this article is to fill this gap in the literature by investigating the day-of-the-week effect in 12 major Arab stock markets using Arab Monetary Fund (AMF) daily index returns from May 2002 to December 2005. Our estimation strategy utilizes Autoregressive (AR) and Generalized Autoregressive Conditional Heteroscedastic (GARCH)-type specifications to allow for a time-varying variance. Among the most important results of this article are, first, is one-third of these markets exhibit significant day-of-the-week effect in returns. Second, two-third of these markets exhibit significant day-of-the-week effect on volatility. Third, most of these day-of-the-week effects are focused within the beginning and the end of the trading week. Finally, the existence of a significant risk premium was confirmed in five of the 12 studied markets.

Suggested Citation

  • Ahmed Kamaly & Eskandar Tooma, 2009. "Calendar anomolies and stock market volatility in selected Arab stock exchanges," Applied Financial Economics, Taylor & Francis Journals, vol. 19(11), pages 881-892.
    • Handle: RePEc:taf:apfiec:v:19:y:2009:i:11:p:881-892
    DOI: 10.1080/09603100802359976
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    3. Elena Lidia Melnic, 2016. "New Approaches In The Retail Banking System For Creating Long Term Loyalty Relationships With Customers: Case Study On The Romanian Market," Eurasian Journal of Business and Management, Eurasian Publications, vol. 4(3), pages 49-64.
    4. Gonzalez-Perez, Maria T. & Guerrero, David E., 2013. "Day-of-the-week effect on the VIX. A parsimonious representation," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 243-260.

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