The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange

Proceedings of the 2nd Applied Financial Economics (AFE) International Conference on “Financial Economics”, Samos island, Greece, July 15-17, 2005

14 Pages Posted: 11 Sep 2014 Last revised: 13 Nov 2014

See all articles by Dimitris Kenourgios

Dimitris Kenourgios

National and Kapodistrian University of Athens - Department of Economics

Aristeidis Samitas

University of the Aegean

Spyros Papathanasiou

National and Kapodistrian University of Athens

Multiple version iconThere are 3 versions of this paper

Date Written: 2005

Abstract

This paper investigates the day of the week effect in the Athens Stock Exchange (ASE) General Index over a ten year period divided into two subperiods: 1995-2000 and 2001-2004. Five major indices are also considered: Banking, Insurance, and Miscellaneous for the first subperiod, and FTSE-20 and FTSE-40 for the second subperiod. Using a conditional variance framework, which extends previous work on the Greek stock market, we test for possible existence of day of the week variation in both return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified-GARCH (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is present for the examined indices of the emerging ASE over the period 1995-2000. However, this stock market anomaly seems to loose its strength and significance in the ASE over the period 2001-2004, which might be due to the Greek entry to the Euro-Zone and the market upgrade to the developed.

Keywords: Day of the week effect, mean stock returns, volatility, GARCH

JEL Classification: G10, G12, G22

Suggested Citation

Kenourgios, Dimitris and Samitas, Aristeidis and Papathanasiou, Spyros, The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange (2005). Proceedings of the 2nd Applied Financial Economics (AFE) International Conference on “Financial Economics”, Samos island, Greece, July 15-17, 2005, Available at SSRN: https://ssrn.com/abstract=2494791 or http://dx.doi.org/10.2139/ssrn.2494791

Dimitris Kenourgios (Contact Author)

National and Kapodistrian University of Athens - Department of Economics ( email )

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Athens, 10559
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Aristeidis Samitas

University of the Aegean ( email )

8 Michalon str.
Chios
Greece

Spyros Papathanasiou

National and Kapodistrian University of Athens ( email )

1, Sofokleous Str.
Athens, 10559
Greece

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