European Financial and Accounting Journal 2015, 10(4):33-44 | DOI: 10.18267/j.efaj.148

Day-of-the-week effect in the Nigerian Stock Market Returns and Volatility: Does the Distributional Assumptions Influence Disappearance?

Osabuohien-Irabor Osarumwense
Osabuohien-Irabor Osarumwense; Department of Mathematics & Statistics, Ambrose Alli University (AAU), KM 70 Benin Auchi Road, P. M. B 14, Ekpoma, Nigeria; and Department of Statistics, School of Mathematical Sciences Universiti Sains Malaysia, 11800 Gelugor, Penang, Malaysia, <osabuohienosa@aauekpoma.edu.ng; osabuohien247@gmail.com>.

This study assesses the influence of error distributional assumption on appearance or disappearance of day-of-the-week effects in returns and volatility using the Nigerian stock exchange (NSE-30). The Gaussian, Student-t, and the Generalized error distribution were incorporated in the GARCH (2,1) and EGARCH (2,1) models. Result reveals that day-of-the-week effects are sensitive to error distribution. Our finding also shows that evidence of good or bad news in volatility does not only depend on the asymmetric model but also the choice of the error distribution. Thus, this study will provide adequate knowledge to policy makers, investors and researchers about day-of-the-week effect in stock markets.

Keywords: Day-of-the-week, Disappearance, GARCH, Model, Stock
JEL classification: C12, C22, G12

Published: December 1, 2015  Show citation

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Osarumwense, O. (2015). Day-of-the-week effect in the Nigerian Stock Market Returns and Volatility: Does the Distributional Assumptions Influence Disappearance? European Financial and Accounting Journal, 10(4), 33-44. doi: 10.18267/j.efaj.148
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