The Day �of� The� Week Effect in the Colombia Stock Exchange

This study investigates the existence of day of the week effects on stock returns in the Colombian Stock Exchange (CSE) for the period between June 2001 and March 2005. The Bogotá Stock Exchange was established in 1928. However, the two other main bourses in the country merged with this in 2001 to create the CSE. Since then, the CSE is becoming a good diversification alternative for both domestic and foreign investors. The modelling in the study begins with linear regression analyses, but the data generating process is shown to be non-linear. A non-linear GARCH model is then applied, achieving a good explanation for the modelled rates of return. Results obtained indicate the significant presence of day of the week effects in both returns and volatility. The maximum return is on Friday whereas the minimum is on Tuesday, with return variances at their highest on Monday.