Evidence on the Day-of-the-Week Effect and Asymmetric Behavior in the Bombay Stock Exchange
This study examines the existence of day-of.the~week effect and asymmetrical market behavior in the Bombay Stock Exchange (BSE) over the post-9/11 and post-9/11 sub-periods. This study found the existence of significant positive Monday effect and negative Friday effect during the pre-9/l1 sub-period...
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| Format: | Article |
| Language: | English |
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IUP Publications
2010
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| Online Access: | http://ir.unimas.my/id/eprint/18633/ http://ir.unimas.my/id/eprint/18633/7/Evidence%20on%20the%20Day%3Bof%3Bthe%3BWeek%20Effect%20%28abstract%29.pdf |
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| author | Chia, Ricky Chee-Jiun Liew, Venus Khim-Sen |
| author_facet | Chia, Ricky Chee-Jiun Liew, Venus Khim-Sen |
| author_sort | Chia, Ricky Chee-Jiun |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | This study examines the existence of day-of.the~week effect and asymmetrical market behavior in the Bombay Stock Exchange (BSE) over the post-9/11 and post-9/11 sub-periods. This study found the existence of significant positive Monday effect and negative Friday effect during the pre-9/l1 sub-period. Further analysis using the EGARCH and EGARCH-M models revealed the asymmetrical market reaction to the positive and negative news in BSE. Moreover, significant day-of-the-week effect is found present in BSE regardless of sub-periods, after controlling for time-varying variance and asymmetrical market behavior. |
| first_indexed | 2025-11-15T06:57:23Z |
| format | Article |
| id | unimas-18633 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:57:23Z |
| publishDate | 2010 |
| publisher | IUP Publications |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-186332017-11-21T01:25:54Z http://ir.unimas.my/id/eprint/18633/ Evidence on the Day-of-the-Week Effect and Asymmetric Behavior in the Bombay Stock Exchange Chia, Ricky Chee-Jiun Liew, Venus Khim-Sen HB Economic Theory This study examines the existence of day-of.the~week effect and asymmetrical market behavior in the Bombay Stock Exchange (BSE) over the post-9/11 and post-9/11 sub-periods. This study found the existence of significant positive Monday effect and negative Friday effect during the pre-9/l1 sub-period. Further analysis using the EGARCH and EGARCH-M models revealed the asymmetrical market reaction to the positive and negative news in BSE. Moreover, significant day-of-the-week effect is found present in BSE regardless of sub-periods, after controlling for time-varying variance and asymmetrical market behavior. IUP Publications 2010-11 Article PeerReviewed text en http://ir.unimas.my/id/eprint/18633/7/Evidence%20on%20the%20Day%3Bof%3Bthe%3BWeek%20Effect%20%28abstract%29.pdf Chia, Ricky Chee-Jiun and Liew, Venus Khim-Sen (2010) Evidence on the Day-of-the-Week Effect and Asymmetric Behavior in the Bombay Stock Exchange. The IUP Journal of Applied Finance, 16 (6). pp. 17-29. ISSN 0972-510 http://www.iupindia.in/1005/ijaf.asp |
| spellingShingle | HB Economic Theory Chia, Ricky Chee-Jiun Liew, Venus Khim-Sen Evidence on the Day-of-the-Week Effect and Asymmetric Behavior in the Bombay Stock Exchange |
| title | Evidence on the Day-of-the-Week Effect and Asymmetric Behavior in the Bombay Stock Exchange |
| title_full | Evidence on the Day-of-the-Week Effect and Asymmetric Behavior in the Bombay Stock Exchange |
| title_fullStr | Evidence on the Day-of-the-Week Effect and Asymmetric Behavior in the Bombay Stock Exchange |
| title_full_unstemmed | Evidence on the Day-of-the-Week Effect and Asymmetric Behavior in the Bombay Stock Exchange |
| title_short | Evidence on the Day-of-the-Week Effect and Asymmetric Behavior in the Bombay Stock Exchange |
| title_sort | evidence on the day-of-the-week effect and asymmetric behavior in the bombay stock exchange |
| topic | HB Economic Theory |
| url | http://ir.unimas.my/id/eprint/18633/ http://ir.unimas.my/id/eprint/18633/ http://ir.unimas.my/id/eprint/18633/7/Evidence%20on%20the%20Day%3Bof%3Bthe%3BWeek%20Effect%20%28abstract%29.pdf |