This paper investigates the presence of day-of-the-week effect, returns volatility and analyzes the annual returns of … returns volatility in most of these Markets. The stock exchanges experienced enormous growth between 2001 and 2010. The result … accompanied by any volatility seasonality and investing on low (high) return weekday does not necessarily mean that risk is also …

This paper investigates the presence of day-of-the-week effect, returns volatility and analyzes the annual returns of … returns volatility in most of these Markets. The stock exchanges experienced enormous growth between 2001 and 2010. The result … accompanied by any volatility seasonality and investing on low (high) return weekday does not necessarily mean that risk is also …

return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified …-GARCH (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is …