In this paper, we examine empirically the day-of-the-week effect on the Tunisian stock exchange index (TUNINDEX) return and volatility. We use three multivariate general autoregressive conditional heteroscedasticity models (GARCH (1,1), EGARCH (1,1), and TGARCH (1,1)) to examine the presence of...

There is an extensive amount of financial literature which focuses on the relationship between the day of the week effect and the returns assets. This relation is developed well by several researchers. Whereas, the obtained results to differentiate from a study to the other one. Thus,...

There is an extensive amount of financial literature which focuses on the relationship between the day of the week effect and the returns assets. This relation is developed well by several researchers. Whereas, the obtained results to differentiate from a study to the other one. Thus,...

Purpose - This paper aims to provide an important perspective to the predictive capacity of Organization of the Petroleum Exporting Countries (OPEC) meeting dates and production announcements for energy futures (crude oil West Texas Intermediate (WTI), gasoline reformulated gasoline blendstock...