IIARD International Institute of Academic Research and Development

IIARD INTERNATIONAL JOURNAL OF BANKING AND FINANCE RESEARCH (IJBFR )

E-ISSN 2695-1886
P-ISSN 2672-4979
VOL. 2 NO. 3 2016

---

Day of the Week Effect: Evidence from the Nigerian Stock Exchange

Onoh, John Okey

---

Abstract

It is well documented that expected stock returns vary with the day of the week in developed stock markets as well as in emerging stock markets. The evidence of this seasonal pattern has, however, been very scanty in the case of Nigeria. The research therefore investigates the presence of the day of the week in the Nigerian Stock Exchange. The Ordinary Least Square method was used to analyze the stock returns pattern for a period ranging from 2nd January 2009 to 31st December 2015. Results obtained from the study shows that Friday returns is significantly higher than returns of other days of the week. This finding confirms the existence of the day of the week effect in the NSE daily return.

---

References:

Abdullah Al-Mutairi (2010), “ An Investgigation of the Day – of –the-week effect in the Kuwait
Stock Exchange”, Research Journal of International Studies, Kuwait, pp192-193


Abraham, A. and Ikenberry, D. L. (1994), “The Individual Investor and the Weekend Effect”,
The Journal of Financial and Quantitative Analysis, Vol. 29, No. 2, pp. 263-277.

Agathee, U. S. (2008),”Day of the Week Effects: Evidence from the Stock Exchange of
Mauritius”, International Research Journal of Finance and Economics, Issue 17

Agrawal, A. and Tandon, K. (1994), ”Anomalies or Illusions? Evidence from Stock Markets in
Eighteen Countries”, Journal of International Money and Finance, Volume 13, Issue 1,
Pp. 83-106.

Alagidede, P. (2008),”Day of the Week Seasonality in African Stock Markets”, Applied
Financial Economics Letters, 4 (2), 115-120.

Arsad, Zainudin and Coutts, J. A. (1997),” Security Price Anomalies in the London International
Stock Exchange: A 60 Year Perspective”, Applied Financial Economics, Volume 7,
Number 5, 1 October 1997, pp. 455-464.

Ayadi, F.O.; Dufrene, U. and Chatterjee, A. (1988), “Stock Return Seasonalities in Low-income
African Emerging Markets”, Managerial Finance, 24 (3), 22-33.

Balaban, E. (1995), “Day of the week effects: New evidence from an emerging market”, Applied
Economics Letters, 2, 139-143.

Berument, H. and Kiymaz, H. (2001), “The Day of the Week Effect on Stock Market Volatility”,
Journal of Economics and Finance, Vol. 25, No. 2, pp. 181-193

Brown, P., Keim, D., Kelidon, W. and Marsh, T. (1983), "Stock Return Seasonalities and the
Tax Loss Selling Hypothesis: Analysis of the Arguments and Australian Evidence",
Journal of Financial Economics, 12(1): 105-123.

Chan S. H.; Leung, W, and Wang, K. (2004), “The Impact of Institutional Investors on the
Monday Seasonal”, The Journal of Business, Vol. 77, No. 4, pp. 967-986.

Choudhry, T. (2000),”Day of the Week Effect in Emerging Asian Stock Market: Evidence from
the GARCH Model”, Applied Financial Economics, Volume 10, Number 3, 1 June
2000, pp. 235-242.

Connolly, R. A. (1989), “An Examination of the Roboustness of the Weekend Effect”, The
Journal of Financial and Quantitative Analysis, Vol. 24, No. 2, pp. 133-169.

Cross, F. (1973), “The Behaviour of Stock Prices on Mondays and Fridays”, Financial Analyst
Journal, November-December, 67-69.

Dimitirs, K. and Samitas, A. (2008),”The Day of the Week Effect patterns on the Stock Market
Returns and Volatility: Evidence for the Athens Stock Exchange”, International
Research Journal of Finance and Economics, Issue 15

Fama, E. (1970), “Efficient Capital Market: A Review of Theory and Empirical
Tests”, Journal of Finance, 25, 3852, 417.

Fountas, S. and Segredakis, K. N. (2002), “Emerging stock markets returns seasonalities: The
January Effect and the Tax-loss Selling Hypothesis,” Applied Financial Economics, 12
(4):291-300.

French, K.R. (1980), “Stock Returns and the Weekend Effect”, Journal of Financial
Economics, 8, 55-69.

Gibbons, M. and Hess, P. (1981), "Day of the Week Effects and Asset Returns," Journal of
Business, October, 579-596.

Halil Kiymaz and Hakan Berument (2003), “ The day of the week effect on stock market
volatility and volume: International evidence”, Review of Financial Economics 12, pp
363-380

Harris, T. (1986),”A Transaction Data Study of Weekly and Intradaily Patterns in Stock
Returns”, Journal of Financial Economics, Volume 16, Issue 1 , May 1986, Pages 99-
117.

Jaffe, J. and Westerfield R. (1985), “The Weekend Effect in Common Stock Returns:
International Evidence”, The Journal of Finance, Vol. 40, No. 2. (June), pp. 433-454.

Kamara, A. (1997),”New Evidence on the Monday Seasonal in Stock Returns”, The Journal of
Business, Vol. 70, No. 1, pp. 63-84.

Kato, K. and Schallheim, J. (1985), "Seasonal and Size Anomalies in the Japanese Stock
Market", Journal of Financial and Quantitative Analysis, 20(2): 243-260

Keim, D. B. and Stambaugh, R. F. (1984), “ A Further Investigation of the Weekend Effect in
Stock Returns”, The Journal of Finance, Vol. 39, No. 3, pp. 819-835.

Kendal. M. (1953), “The Analysis of Economic Time Series, part 1: prices”
Journal of the Royal Statistical Society, Series A, 96, 11-25.

Lackonishok, J. and Smidt, S. (1988), “Are Seasonal Anomalies Real? A Ninety
Year Perspective” Review of Financial Studies, 1, 435-455.

Lakonishok, J. and Maberly, E. (1990), “The Weekend Effect: Trading Patterns of Individual and
Institutional Investors”, The Journal of Finance, Vol. 45, No. 1. (March), pp. 231-243.

Lo, A.W. (1997), Market Efficiency: Stock Behaviour in Theory and in
practice, Cheltenhan: Edward Elgar Publishing Ltd.

Ritter, R.J. (1988), ”Buying and Selling Behaviour of Individual Investors at the Turn of the
Year”, Journal of Finance, 43 (July), 701-717.

Roll, R. (1983), "Vas Is Das?" Journal of Portfolio Management, 9: 18-28.

Rozeff, M. and Kinney, W. (1976), “Capital Market Seasonality: The Case of Stock Market
Returns”, Journal of Financial Economics, 3, 379-402.

Steeley, J. M. (2001), “A Note on Information Seasonality and the Disappearance of the
Weekend Effect in the UK Stock Market”, Journal of Banking and Finance, Volume 25,
Issue 10, October, Pages 1941-1956.

Sullivan, Timmermann and White (2001),”Dangers of Data Mining: The Case of Calender
Effects in Stock Returns”, Journal of Econometrics, Volume 105, Issue 1, Pp. 249-286.

Wachtel, S. (1942), “Certain Observations on Seasonal Movements in Stock Prices”, Journal of
Business, 15, 184-193.

DOWNLOAD PDF

---

Back