Title: Day of the week effect anomaly in Dhaka Stock Exchange post crisis period: evidence from Bangladesh capital market

Authors: Md Arafat Hossain; Vahid Biglari

Addresses: Department of Accounting, Faculty of Business and Accountancy, University of Malaya, 50603 Kuala Lumpur, Malaysia ' The University of Newcastle (UoN) Singapore, 6 Temasek Boulevard, #10-02/03, Suntec Tower 4, 038986, Singapore

Abstract: This study examines day of the week effect anomaly in Dhaka Stock Exchange (DSE), during post crisis period. The Bangladesh stock market crashed on 19 December 2010, and the stock market remained sluggish for long time. This study used the daily closing prices of two important indexes (DGEN and DSI) during post crisis period, from 19 December 2010 to 31 December 2013. Regression statistics modelled with dummy variables, one-sample T-test statistics, paired-sample T-test statistics and ANOVA (one-way) for parametric test and Kruskal-Wallis and Wilcoxon signed rank test for non-parametric test, have been used to observe the day of the week effect anomaly in DSE. The results revealed irregularities in daily mean returns with different returns volatility in week. The study provides implications for policy makers to develop appropriate post-crisis policy tools and incentives to re-stabilise the market.

Keywords: Dhaka Stock Exchange; DSE; day of the week effect anomaly; stock market crash; regression with dummy variables; Kruskal-Wallis test; Wilcoxon signed rank test; weekday effect; post crisis period; Bangladesh capital market; Asia.

DOI: 10.1504/AAJFA.2020.110492

Afro-Asian Journal of Finance and Accounting, 2020 Vol.10 No.4, pp.537 - 553

Received: 03 Oct 2017
Accepted: 01 Oct 2018
Published online: 22 Oct 2020 *

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