Chia, Ricky Chee Jiun and Khim, Venus Sen Liew (2010) Evidence on the day of the week effect and asymmetric behavior in the Bombay stock exchange. The lUP Journal of Applied Finance, 16 (6). pp. 17-29.
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Abstract
This study examines the existence of day-of.the~week effect and ASYMMETRICAL market behavior in the BombaY Stock Exchange (BSE) Over the pre~9/11 and post·91I I sub-periods. This SL~ found the existence of significant positive Monday effect and negative Friday effect during the pre-9/l1 sub-period. Further analysis using the EGARCH and EOARCH·M models revealed the as)'f71metrical market reaction to the positive and negative news in BSE. Moreover, significant day,.of·the week effect is found present in BSE regardless of sub.periods, after controlling for time..varying variance and asymmetrical market behavior. •
| Item Type: | Article |
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| Keyword: | Asymmetric, Bombay, Stock exchange |
| Subjects: | H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges |
| Department: | SCHOOL > Labuan School of International Business and Finance |
| Depositing User: | ADMIN ADMIN |
| Date Deposited: | 18 May 2011 16:53 |
| Last Modified: | 16 Oct 2017 12:12 |
| URI: | https://eprints.ums.edu.my/id/eprint/2835 |
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