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首页> 外文期刊>International Journal of Business and Management >Stock Market Anomaly: Day of the Week Effect in Dhaka Stock Exchange
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Stock Market Anomaly: Day of the Week Effect in Dhaka Stock Exchange

机译：股票市场异常：达卡证券交易所的星期几效应

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摘要

This paper examines the presence of day of the week effect anomaly in Dhaka Stock Exchange (DSE). Several hypotheses have been formulated; dummy variable regression and the GARCH (1, 1) model were used in the study. The result indicates that Sunday and Monday returns are negative and only positive returns on Thursdays are statistically significant. Result also reveals that the mean daily returns between two consecutive days differ significantly for the pairs Monday-Tuesday, Wednesday-Thursday and Thursday-Sunday. Result also shows that the average daily return of every working day of the week is not statistically equal. Dummy variable regression result shows that only Thursdays have positive and statistically significant coefficients. Results of GARCH (1, 1) model show statistically significant negative coefficients for Sunday and Monday and statistically significant positive coefficient for Thursday dummies.
机译：本文研究了达卡证券交易所（DSE）中星期几效应的存在。已经提出了几种假设;在研究中使用了虚拟变量回归和GARCH（1，1）模型。结果表明，星期日和星期一的收益为负，只有星期四的收益为正。结果还显示，周一至周二，周三至周四和周四至周日的货币对在连续两天之间的平均每日收益差异显着。结果还显示，一周中每个工作日的平均每日收益在统计上并不相等。虚拟变量回归结果显示，只有星期四才具有正向和统计上显着的系数。 GARCH（1，1）模型的结果显示，周日和周一的统计显着负系数，周四假人的统计显着正系数。

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