Day-of-the-week Effect In Some Of The
Gulf Cooperation Council (GCC)
Stock Markets
Author(s)
A. M. Al-Barrak
Abstract
This paper examines the day-of-the-week effects in some of the Gulf
Cooperation Council (GCC) stock markets namely the Saudi Stock Market, the
Kuwaiti Stock Exchange, and the Dubai Financial Market. The empirical
research was conducted using the variances (ANOVA) test to find if there were
significant differences between the daily returns in these markets from January
2002 to December 2005. Results obtained indicate the significant presence of the
day of the week effect on the Kuwaiti Stock Exchange (KSE), the highest return
is observed on Saturday and the lowest return is observed on Sunday.
Keywords: day-of-the-week effect, Gulf cooperation council stock market.
1 Introduction
French (1980) originally observed that stock returns are higher than average on
the last trading day of the week and lower than average on the first. Since then, a
great number of researchers have attempted to explain and examine what has
come to be known as the \“weekend” or \“day-of-the-week” effect. Now, it is well
documented in the finance literature that the weekend or the day-of-the-week
could affect the performance of the stock market. Most of these researches have
documented that the average return on Friday is abnormally high, and the
average return on Monday is abnormally low (Agrawal and Tandon [1], and
Mills and Coutts [15]). Jaffe and Westerfield [10] and Keim and Stambaugh [12]
say that this anomalous empirical finding is one of the most puzzling phenomena
in finance.
In this paper, we extend the determination of the day-of-the-week effect
existing in a sample of three Gulf Cooperation Council (GCC) stock markets,
Keywords
day-of-the-week effect, Gulf cooperation council stock market.
Related Book
Other papers in this volume
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