The day-of-the-week effect: South African stock market indices

Abstract

The presence of a day-of-the-week effect has been investigated by many researchers over many years, using a variety of financial data and methods. However, differences in methodology between studies could have led to conflicting results. The purpose of this paper is to expand on an existing study to observe whether an analysis of the same data set with some added years and using a different statistical technique provide the same results. The study examines the presence of a day-of-the-week effect on the Johannesburg Stock Exchange (JSE) indices for the period March 1995-2016, using a GARCH model. The findings show that, contrary to the original study, the day-of-the week effect is present in both volatility and return equations. The highest and lowest returns are observed on Monday and Friday, respectively, while volatility is observed on all five days from Monday to Friday. This study adds to the existing literature on day-of-the-week effect of JSE indices, where...