This paper estimates the day-of-the-week effect on the market return, volatility of market returns and trade volume of DSE using conditional variance model. Empirical results of this paper indicate that the day-of-the-week effect in DSE does exist in case of market return, volatility of market...

Observed by more than 1.5 billion Muslims, Ramadan is one of the most celebrated religious rituals in the world. We investigate stock returns during Ramadan for 14 predominantly Muslim countries over the years 1989-2007. The results show that stock returns during Ramadan are significantly higher...

Robust weak form efficiency tests are conducted to examine market efficiency in two pan-European indices; the large capitalisation EuroStoxx 50 and the small capitalisation EuroStoxx Small from January 2000 to March 2012. Applying the non-parametric Belaire-Franch and Opong (2005) multiple...

This paper analyzes the mean reversion property on the west African stock market (in French, Bourse Régionale des Valeurs Mobilières BRVM). For this purpose, we use two daily indices: (i) the composite index (BRVMC) and (ii) the index of the 10 most liquid assets (BRVM10) collected from 3...

Previous research indicates that performance and volatility of small and regional stock markets can be influenced by the performance of major world exchanges such as New York, Frankfurt or Tokyo stock exchange. This research analyses weekly composite index data for SASE (Sarajevo Stock...

Volatility is essential to consider uncertainty surrounding investments in financial assets. For this reason, financial industry regulators, mutual fund managers, individual and institutional investors, and policymakers are concerned about volatility. Against this background, this paper...