Day of the week effect on the Zimbabwe Stock Exchange: A non-linear GARCH analysis

Mazviona, Batsirai Winmore (2015) Day of the week effect on the Zimbabwe Stock Exchange: A non-linear GARCH analysis.

Full text not available from this repository.
Official URL: http://ir.nust.ac.zw/xmlui/handle/123456789/794

Abstract

This study analysed the day of the week effect on the Zimbabwe Stock Exchange (ZSE) by taking into account volatility of returns. The purpose of the study was to establish whether daily mean returns across a trading week differ from each other. We employ a non-linear approach in modelling the day of the week effects. In particular, we used the Generalised Autoregressive Conditional Heteroscedasticity (GARCH) and the Exponential GARCH (EGARCH) models. We used industrial and mining daily closing indices data from 19 February 2009 to 31 December 2013. The data was retrieved from the ZSE website. EViews 7 software was utilised for data analysis. In order to test the null hypothesis of equality of daily mean returns, a Wald test was carried out. The Wald F-statistic rejected the null hypothesis of equality of mean returns for the industrial index. We found the traditional negative Monday and positive Friday effect for the industrial index in GARCH (1,1) and EGARCH (1,1) models. The GARCH (1,1) detected a negative Friday effect and the EGARCH (1,1) detected negative Wednesday effect for the mining index. We found evidence of model dependency for the mining index results.

Item Type: Article
Uncontrolled Keywords: Day of the week,Zimbabwe Stock Exchange,GARCH,EGARCH
Divisions: Universities > State Universities > National University of Science and Technology
Depositing User: Mr. Edmore Sibanda
Date Deposited: 15 May 2017 23:00
Last Modified: 15 May 2017 23:00
URI: http://researchdatabase.ac.zw/id/eprint/4632

Actions (login required)

View Item View Item