Day of the Week Effect on Stock Market Returns and Volatility : Evidence from Dhaka Stock Exchange

The main purpose of this paper is to examine the day of the week effect on stock market return and volatility in Dhaka Stock Exchange (DSE). For this purpose, the daily series of DSE Broad Index (DSEX) data for the period of Jan 2013 to June 2017 have been considered. Three multi-variate autoregressive conditional heteroscedasticity models like GARCH (1,1), TGARCH (1,1), and EGARCH (1,1) are employed to identify the existence of daily anomalies in stock market return and volatility. The results show that highest and lowest returns are observed on Tuesday and Sunday, respectively based on GARCH (1,1), TGARCH (1,1), and EGARCH (1,1) model. And highest and lowest volatility are observed on Thursday and Sunday, respectively based on GARCH (1,1) and TGARCH (1,1) and highest and lowest volatility are observed on Sunday and Thursday, respectively based on EGARCH (1,1) model. And the results are statistically significant at 0.000 level which is less than 0.05 or 5% level. The findings of this paper will be useful for policy makers, all kinds of investors, corporations, and other financial market- participants