In line with the Adaptive Market Hypothesis (AMH), the objective of this study is to investigate how the day-of-the-week (DOW) effect behaves under different bull and bear market conditions in African stock markets, and to examine the likelihood of being in a bull or bear regime for each market....

The present study examines the Day-of-the-Week effect anomaly in the Indian equity market during the period of July 1997 to March 2006 using daily data of NSE Nifty and BSE Sensex. The Day-of-the-Week effect implies that the stocks return is not independent of the Day-of-the-Week in which they...

Using the GARCH (generalized ARCH) specification, this paper examines the Ramadan effect for stock markets in both Islamic and non-Islamic countries in Southeast Asia for the period 1997 to 2008. Similar patterns of results were observed in these Islamic and non-Islamic countries, suggesting the...