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- W3142012324 abstract "This paper examines the day of the week effect for the Nigerian and South African equity markets over pre-liberalisation and post-liberalisation periods. The paper uses Exponential Generalized Autoregressive Conditional Hetroskedasticity (EGARCH) model to estimate the day of the week effect both in the mean and variance equations. The post-liberalisation period for the Nigerian equity market exhibits day of the week effect on Fridays only in the mean equation. While in the variance equation, there is evidence of day of the week effect on Tuesdays and Thursdays respectively. In South Africa, there is significant evidence of the day of the week effect on Mondays and Fridays during the pre-liberalization period. During the post-liberalisation period, there is evidence of day of the week effect on Thursdays in the mean equation and Fridays only in the variance equation." @default.
- W3142012324 created "2021-04-13" @default.
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- W3142012324 date "2013-07-05" @default.
- W3142012324 modified "2023-09-27" @default.
- W3142012324 title "The Day of the Week effect on stock market returns and volatility: Evidence from Nigeria and South Africa" @default.
- W3142012324 hasPublicationYear "2013" @default.
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