Day-of-the-week effect on the Tunisian stock market return and volatility

In this paper, we examine empirically the day-of-the-week effect on the Tunisian stock exchange index (TUNINDEX) return and volatility. We use three multivariate general autoregressive conditional heteroscedasticity models (GARCH (1,1), EGARCH (1,1), and TGARCH (1,1)) to examine the presence of dail...

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Autores principales:	Abdelkader Derbali, Slaheddine Hallara
Formato:	article
Lenguaje:	EN
Publicado:	Taylor & Francis Group 2016
Materias:	day of the week volatility returns garch t-garch e-garch tunindex Business HF5001-6182 Management. Industrial management HD28-70
Acceso en línea:	https://doaj.org/article/408044781ddb406991eafec29edf364e
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spelling	oai:doaj.org-article:408044781ddb406991eafec29edf364e2021-12-02T14:35:45ZDay-of-the-week effect on the Tunisian stock market return and volatility2331-197510.1080/23311975.2016.1147111https://doaj.org/article/408044781ddb406991eafec29edf364e2016-12-01T00:00:00Zhttp://dx.doi.org/10.1080/23311975.2016.1147111https://doaj.org/toc/2331-1975In this paper, we examine empirically the day-of-the-week effect on the Tunisian stock exchange index (TUNINDEX) return and volatility. We use three multivariate general autoregressive conditional heteroscedasticity models (GARCH (1,1), EGARCH (1,1), and TGARCH (1,1)) to examine the presence of daily anomalies in the TUNINDEX returns and volatilities during the period from 31 December 1997 to 07 April 2014. The empirical results of GARCH (1,1), EGARCH (1,1), and TGARCH (1,1) model indicate the existence of a significance and positive effect for Thursdays and for the return at (t − 1) on the return and volatility of TUNINDEX in a threshold of 1%. Additionally, we find the presence of a significance and negative effect for Tuesday on the TUNINDEX return and volatility. Also, we can show the persistence of volatility in the case of Tunisian stock market index.Abdelkader DerbaliSlaheddine HallaraTaylor & Francis Grouparticleday of the weekvolatilityreturnsgarcht-garche-garchtunindexBusinessHF5001-6182Management. Industrial managementHD28-70ENCogent Business & Management, Vol 3, Iss 1 (2016)
institution	DOAJ
collection	DOAJ
language	EN
topic	day of the week volatility returns garch t-garch e-garch tunindex Business HF5001-6182 Management. Industrial management HD28-70
spellingShingle	day of the week volatility returns garch t-garch e-garch tunindex Business HF5001-6182 Management. Industrial management HD28-70 Abdelkader Derbali Slaheddine Hallara Day-of-the-week effect on the Tunisian stock market return and volatility
description	In this paper, we examine empirically the day-of-the-week effect on the Tunisian stock exchange index (TUNINDEX) return and volatility. We use three multivariate general autoregressive conditional heteroscedasticity models (GARCH (1,1), EGARCH (1,1), and TGARCH (1,1)) to examine the presence of daily anomalies in the TUNINDEX returns and volatilities during the period from 31 December 1997 to 07 April 2014. The empirical results of GARCH (1,1), EGARCH (1,1), and TGARCH (1,1) model indicate the existence of a significance and positive effect for Thursdays and for the return at (t − 1) on the return and volatility of TUNINDEX in a threshold of 1%. Additionally, we find the presence of a significance and negative effect for Tuesday on the TUNINDEX return and volatility. Also, we can show the persistence of volatility in the case of Tunisian stock market index.
format	article
author	Abdelkader Derbali Slaheddine Hallara
author_facet	Abdelkader Derbali Slaheddine Hallara
author_sort	Abdelkader Derbali
title	Day-of-the-week effect on the Tunisian stock market return and volatility
title_short	Day-of-the-week effect on the Tunisian stock market return and volatility
title_full	Day-of-the-week effect on the Tunisian stock market return and volatility
title_fullStr	Day-of-the-week effect on the Tunisian stock market return and volatility
title_full_unstemmed	Day-of-the-week effect on the Tunisian stock market return and volatility
title_sort	day-of-the-week effect on the tunisian stock market return and volatility
publisher	Taylor & Francis Group
publishDate	2016
url	https://doaj.org/article/408044781ddb406991eafec29edf364e
work_keys_str_mv	AT abdelkaderderbali dayoftheweekeffectonthetunisianstockmarketreturnandvolatility AT slaheddinehallara dayoftheweekeffectonthetunisianstockmarketreturnandvolatility
_version_	1718391067274903552

Day-of-the-week effect on the Tunisian stock market return and volatility

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