The Day-of-the-Week Anomaly in Market Returns, Volume and Volatility in SAARC Countries

This study investigates extent of market efficiency and presence of day of week effect in stock market indices and volume and volatility in four major SAARC countries, namely Pakistan, Bangladesh, India and Sri Lanka for the period 1999 to 2014. The day of week anomaly is detected by using day of week dummies in return and volume model with ARMA specification estimated by Ordinary Least Square. The day of week effect in volatility is captured by GARCH model with days of week dummies in conditional mean and variance equations. The GARCH-M model is applied to see that investor is getting reward for facing volatility risk. The asymmetry in volatility is estimated by TGARCH-M and EGARCH-M.