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Title: | Unlocking market secrets: dynamics of the day-of-the-week effect during crisis in an emerging market |
Authors: | Mohamed Riyath, Mohamed Ismail Dewasiri, Narayanage Jayantha Kiran, Sood Yatiwelle Koralalage, Weerakoon Banda Kiran, Nair |
Keywords: | Colombo Stock Exchange COVID-19 Day of the week Effect Economic Crisis EGARCH Market Anomaly Pandemic G01 G10 G15 G12 |
Issue Date: | 17-Jun-2024 |
Publisher: | Emerald Publishing Limited |
Citation: | Mohamed Riyath, M.I., Dewasiri, N.J., Sood, K., Weerakoon Banda, Y.K. and Nair, K. (2024), "Unlocking Market Secrets: Dynamics of the Day-of-the-Week Effect During Crisis in an Emerging Market", Taneja, S., Kumar, P., Sood, K., Özen, E. and Grima, S. (Ed.) Finance Analytics in Business (Emerald Studies in Finance, Insurance, and Risk Management), Emerald Publishing Limited, Leeds, pp. 49-76. |
Abstract: | By examining the impact of the day of the week during the COVID-19 pandemic and the subsequent economic recession, it is possible to provide insights into market behaviour during volatile times that can be furnished to investors and policymakers for informed decisions. This study investigates the day-of-the-week effect on the Colombo Stock Exchange (CSE), with particular emphasis on the variations in this effect during the COVID-19 pandemic and the subsequent economic crisis. The study applies the Exponential Generalised Autoregressive Conditional Heteroskedasticity (EGARCH) model, allowing for the evaluation of asymmetric responses to positive and negative shocks. The data span from January 2006 to December 2022 and are segmented into different periods: the entire sample, war and post-war periods, the COVID-19 pandemic and the economic crisis period, each reflecting distinct market conditions. The study uncovers a significant day-of-the-week effect on the CSE. Mondays and Tuesdays typically show a negative effect, while Thursdays and Fridays display a positive impact. However, this pattern shifts notably during the COVID-19 pandemic, with all weekdays exhibiting significant positive impact, and varies further across different waves of the pandemic. The economic crisis period also shows unique weekday effects, particularly before and after an important political event. |
URI: | https://doi.org/10.1108/978-1-83753-572-920241003 http://ir.lib.seu.ac.lk/handle/123456789/7352 |
ISBN: | 978-1-83753-573-6 978-1-83753-572-9 (e-ISBN) |
Appears in Collections: | Research Articles |
Files in This Item:
File | Description | Size | Format | |
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Unlocking Market Secrets.pdf | 32.94 kB | Adobe PDF | View/Open |
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