Day of the Week Effect in Stock Returns by using Bootstrapping GARCH

Abstract

Abstract This paper propounds to examine the impact of the day week on the return of daily stock price using entire index, in Tehran Stock Exchange market during 1383 to 1388. In the literature review, a full explanation of the models and their shortcomings are discussed and propose a simpler specification and usable model for detecting the day of the week effect on the return of daily stock price entire index in Tehran Stock Exchange market. Recognizing that residuals of linear regressions are variant over time, and auto-correlated, we apply statically robust estimation methodologies, including bootstrapping and GARCH modeling. The paper concludes that using “Bootstrapping GARCH Regression” will lead to a negative effect on the returns on Sunday and positive returns on Tuesday.

Keywords

• Bootstrap
• Day
• of
• the
• week effect
• Asymmetry GARCH