les cahiers du mecas
Volume 18, Numéro 1, Pages 83-92
2022-06-06
The Day Of The Week Effect On Qatari Financial Market Returns
Authors : Fettouhi Khadidja . Kifani Chahida .
Abstract
This study examines the presence of one of the prominent anomalies which is the day of the week effect anomaly in Arab stock exchange Qatari. Data available for daily returns Qatar stock market index QSI in the extended period from 01/02/2018 until 06/07/2021. This paper attempts to test whether the effect of the day of the week exists in returns. Thus, to investigate these effects on stock returns using GARCH (1.1) And OLS models. Our results indicate That there is a negative, statistically significant effect of Monday on the returns of the Qatari stock market. While the average returns of Wednesday's regression analysis are positive and statistically significant.
Keywords
Efficiency of Financial Markets ; Calendar Anomalies ; The Day Of The Week Effect.
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