The Day of the Week effect on stock market returns and volatility: Evidence from Nigeria and South Africa
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- Hassan, Aminu & Ibrahim, Masud Usman & Bala, Ahmed Jinjiri, 2024. "Vulnerability of a developing stock market to openness: One-way return and volatility transmissions," International Review of Financial Analysis, Elsevier, vol. 93(C).
- Adefemi A. Obalade & Paul-Francois Muzindutsi, 2021. "Are African Stock Markets Inefficient or Adaptive? Empirical Literature," Chapters, in: Vito Bobek & Chee-Heong Quah (ed.), Emerging Markets, IntechOpen.
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More about this item
Keywords
day of the week effect; volatility; E-GARCH model;All these keywords.
JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-AFR-2013-07-15 (Africa)
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