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Stock Market Anomalies: The Day-Of-The-Week-Effect: An empirical study on the Swedish Stock Market: A GARCH Model Analysis
Jönköping University, Jönköping International Business School, JIBS, Business Administration. 1994.
Jönköping University, Jönköping International Business School, JIBS, Business Administration.
2018 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

Background: The day-of-the-week effect has been a widely studied field ever since the concept was introduced in the early 1970s. Historically, negative returns on Mondays have been the most common finding. In line with improved market efficiency, researchers have started to question the existence of this anomaly.

Purpose: The purpose of this study is to examine the weak-form efficiency level within the Swedish stock market by using sophisticated statistical approaches. The authors aim to investigate if the day-of-the-week effect was demonstrated between 2000 and 2017.

Method: To properly provide answers to this investigation, a quantitative study has been conducted on the OMXS30. The data has been analysed by using different kind of sophisticated statistical methods such as GARCH and TGARCH.

Conclusion: The results show that the day-of-the-week effect was not demonstrated within the OMXS30 during this time period, providing evidence for improved market efficiency.

Place, publisher, year, edition, pages
2018. , p. 57
Keywords [en]
Day-of-the-week-effect, GARCH, Stock Market Anomalies
National Category
Business Administration
Identifiers
URN: urn:nbn:se:hj:diva-39669ISRN: JU-IHH-FÖA-2-20180604OAI: oai:DiVA.org:hj-39669DiVA, id: diva2:1212006
Subject / course
IHH, Business Administration
Supervisors
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Available from: 2018-06-18 Created: 2018-05-31 Last updated: 2018-06-18Bibliographically approved

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf