Seasonal Behaviour Of The Volatility On
European Stock Markets
Author(s)
L. Jordán Sales, R. Mª. Cáceres Apolinario, O. Maroto Santana
& A. Rodríguez Caro
Abstract
The existence of seasonal behaviour in return and volatility of different
international stock exchanges may be considered as an indication of nonintegrated
financial markets. A type of this abnormal behaviour is the day of the
week effect, which implies investment opportunities. This type of opportunity is
studied in this paper, focused on the analysis of the day of the week effect on the
major European stock markets using GARCH and T-ARCH models. Results
show evidence in favour of day of the week effect in the volatility in the most of
the studied countries.
Keywords: day of the week effect, volatility, GARCH, T-ARCH.
1 Introduction
The increasing internationalisation of the main economies from developed
nations has given the investor additional choices when considering his portfolio.
He is no longer obliged to focus his attention on the financial markets where the
assets of his own country are listed in the stock market but instead may look
towards other investment horizons whose markets offer opportunities to obtain
greater results with respect to profit and risk. This scenery is characterised by
significant relaxation of national barriers, thus allowing for the entrance of
foreign capital, and its repercussions are seen in the considerable increase in
international capital flows.
Keywords
day of the week effect, volatility, GARCH, T-ARCH.
Related Book
Other papers in this volume
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