TEST OF THE DAY OF THE WEEK EFFECT: THE CASE OF KUWAIT STOCK EXCHANGE

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TEST OF THE DAY OF THE WEEK EFFECT: THE CASE OF KUWAIT STOCK EXCHANGE

Journal Title: Asian Economic and Financial Review - Year 2015, Vol 5, Issue 5

Abstract

This study examines the presence of the day-of-the-week effect anomaly in the Kuwait Stock Exchange (KSE) using Ordinary Least Square Method (OLS). The day-of-the-week effect is a phenomenon that constitutes a form of anomaly of the efficient capital markets theory. According to this phenomenon, the average daily return of the market is not the same for trading days of the week, as we would expect on the basis of the efficient market theory. This study investigates day of the week effect on the available data of daily returns on the weighted index in the Kuwait Stock Exchange with the period from January 2002 to September 2011. The findings show that KSE exhibits positive returns on the first and the last day of the week with significant negative returns on the Second day of the Trading week.

Authors and Affiliations

Ahmad Mohammad Obeid Gharaibeh*| Ahlia University, Manama, Kingdom of Bahrain, Abdullah Ali Tami Swailem Al Azmi| Al Imtiaz Investment Group Company , State of Kuwait

Keywords

Day-of-the-week effect OLS KSE Efficient capital markets Anomaly Average daily return

EP ID EP2202
DOI -
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