The Kuwait stock exchange index is examined for evidence of a day-of-the-week effect. A nonlinear GARCH(1,1) model provides a good explanation of the data and allows identification and modelling of the day-of-the-week effect.

This paper examines the UK FT30 stock index during the Second World War period 1939-1945 for weak form efficiency, showing that there is substantial structure in the data, albeit in two distinct subsets. Fitting a GARCH (p, q) model to each data subset yields R -2 values of around 19%; clear...

The validity of the weak form of the efficient markets hypothesis (EMH) is tested for the FTSE 30 share index during a period when government economic policy towards the financial markets was relatively unchanging. The EMH would suggest random walk behaviour but this does not occur; instead the...