To read this content please select one of the options below:

Unlocking Market Secrets: Dynamics of the Day-of-the-Week Effect During Crisis in an Emerging Market

a South Eastern University of Sri Lanka, Sri Lanka
b Sabaragamuwa University of Sri Lanka, Sri Lanka
c Chitkara Business School, Chitkara University, India
d Women Researchers Council, Azerbaijan State University of Economics (UNEC), Azerbaijan
e Sri Lanka Institute of Information Technology, Sri Lanka
f Abu Dhabi University, United Arab Emirates

Finance Analytics in Business

ISBN: 978-1-83753-573-6, eISBN: 978-1-83753-572-9

Publication date: 17 June 2024

Abstract

Introduction

By examining the impact of the day of the week during the COVID-19 pandemic and the subsequent economic recession, it is possible to provide insights into market behaviour during volatile times that can be furnished to investors and policymakers for informed decisions.

Purpose

This study investigates the day-of-the-week effect on the Colombo Stock Exchange (CSE), with particular emphasis on the variations in this effect during the COVID-19 pandemic and the subsequent economic crisis.

Design/Methodology/Approach

The study applies the Exponential Generalised Autoregressive Conditional Heteroskedasticity (EGARCH) model, allowing for the evaluation of asymmetric responses to positive and negative shocks. The data span from January 2006 to December 2022 and are segmented into different periods: the entire sample, war and post-war periods, the COVID-19 pandemic and the economic crisis period, each reflecting distinct market conditions.

Findings

The study uncovers a significant day-of-the-week effect on the CSE. Mondays and Tuesdays typically show a negative effect, while Thursdays and Fridays display a positive impact. However, this pattern shifts notably during the COVID-19 pandemic, with all weekdays exhibiting significant positive impact, and varies further across different waves of the pandemic. The economic crisis period also shows unique weekday effects, particularly before and after an important political event.

Keywords

Citation

Mohamed Riyath, M.I., Dewasiri, N.J., Sood, K., Weerakoon Banda, Y.K. and Nair, K. (2024), "Unlocking Market Secrets: Dynamics of the Day-of-the-Week Effect During Crisis in an Emerging Market", Taneja, S., Kumar, P., Sood, K., Özen, E. and Grima, S. (Ed.) Finance Analytics in Business (Emerald Studies in Finance, Insurance, and Risk Management), Emerald Publishing Limited, Leeds, pp. 49-76. https://doi.org/10.1108/978-1-83753-572-920241003

Publisher

:

Emerald Publishing Limited

Copyright © 2024 Mohamed Ismail Mohamed Riyath, Narayanage Jayantha Dewasiri, Kiran Sood, Yatiwelle Koralalage Weerakoon Banda and Kiran Nair. Published under exclusive licence by Emerald Publishing Limited