DAY-of-the-week effect in the Amman, Cairo and the Saudi stock exchanges (2000-2007)
Other Title(s)
أثر أيام الأسبوع على عوائد الأسهم في بورصات عمان و مصر و السعودية
Dissertant
Thesis advisor
Comitee Members
al-Fayyumi, Nidal Ahmad
Salamah, Rashid Muhammad
University
Arab Academy for Financial and Banking Sciences
Faculty
The Faculty of Banking and Financial Sciences
Department
Department of Financial Management
University Country
Jordan
Degree
Ph.D.
Degree Date
2008
English Abstract
This dissertation examines the day-of-the-week effect in three emerging stock markets.
These are the Jordanian, Egyptian and the Saudi stock markets, using daily observations as from January 2000 until the end of 2007.
The results indicate that following the week-end, in (Sundays) stock returns are significantly higher than that observed in the rest of the week days.
End of the week day (Thursday) also showed higher and significant return, while in Mondays stock returns were the lowest (negative return).
Obviously, this result contradicts the Efficient Market Hypothesis at its Weak form level.
In other words, based on the behavior of past prices alone, one can predict future price changes and earn abnormal profits.
Buying on Mondays and selling or short selling on Sundays or Thursdays would be a profitable trading strategy if the markets were liquid enough to allow the buying and selling on those days.
This conclusion clearly contradicts the efficient market hypothesis, and questions the ability of the three Arab markets to allocate capital in an efficient manner.
Moreover, greater professionalism is needed to make the market more efficient.
For example, if the average investor knows about such anomalies, and reacts accordingly, the anomaly itself would disappear.
The results of this dissertation undoubtedly call for further research on the presence of a week day effect based on individual securities.
Main Subjects
Financial and Accounting Sciences
Topics
No. of Pages
55
Table of Contents
Table of contents.
Abstract.
Chapter one : General outline of the dissertation.
Chapter two : Arab stock markets : some basic information.
Chapter three : the day-of the-week effect : a literature review.
Chapter four : The data, methodology and empirical results.
Chapter five : Summary and conclusions.
References.
American Psychological Association (APA)
Balbisi, Abd al-Rahman Amin. (2008). DAY-of-the-week effect in the Amman, Cairo and the Saudi stock exchanges (2000-2007). (Doctoral dissertations Theses and Dissertations Master). Arab Academy for Financial and Banking Sciences, Jordan
https://search.emarefa.net/detail/BIM-306054
Modern Language Association (MLA)
Balbisi, Abd al-Rahman Amin. DAY-of-the-week effect in the Amman, Cairo and the Saudi stock exchanges (2000-2007). (Doctoral dissertations Theses and Dissertations Master). Arab Academy for Financial and Banking Sciences. (2008).
https://search.emarefa.net/detail/BIM-306054
American Medical Association (AMA)
Balbisi, Abd al-Rahman Amin. (2008). DAY-of-the-week effect in the Amman, Cairo and the Saudi stock exchanges (2000-2007). (Doctoral dissertations Theses and Dissertations Master). Arab Academy for Financial and Banking Sciences, Jordan
https://search.emarefa.net/detail/BIM-306054
Language
English
Data Type
Arab Theses
Record ID
BIM-306054
