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 …

Ramadan, the holy month for the Muslims, with the market return, volatility and trade volume in the of DSE. Applying GJR … stock market return and volatility. However, Ramadan has a significant negative impact on the daily trade volume of DSE …

The main purpose of this paper is to examine the day of the week effect on stock market return and volatility in Dhaka … volatility. The results show that highest and lowest returns are observed on Tuesday and Sunday, respectively based on GARCH (1 …,1), TGARCH (1,1), and EGARCH (1,1) model. And highest and lowest volatility are observed on Thursday and Sunday, respectively …