Revisiting Day-of-the-Week Effects on JSE Indices

What is it about?

The paper looks at whether there is a day-of-the-week effect on the Johannesburg Stock Exchange (JSE) indices between March 1995 and 2016, using a statistical model. It revisits a previous study, extending the analysis with additional years and a different method. Contrary to the original study, the findings show that there is a day-of-the-week effect in both volatility and returns. Specifically, higher returns are observed on Mondays, lower returns on Fridays, and volatility throughout the week. This research adds new insights to existing studies on the topic and suggests that the observed effect is influenced by the statistical technique used.

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Photo by Nicholas Cappello on Unsplash

Photo by Nicholas Cappello on Unsplash

Why is it important?

This research is important because it reexamines the presence of a day-of-the-week effect on the Johannesburg Stock Exchange (JSE) indices, using an extended time frame and a different statistical model. The day-of-the-week effect refers to patterns in stock market returns or volatility on different days. Understanding such patterns is crucial for investors and financial analysts. The findings contradict the original study, indicating that the presence of a day-of-the-week effect is influenced by the statistical technique used. This highlights the importance of methodology in financial research and contributes to the ongoing discussion on market anomalies and patterns. The study adds valuable insights to the existing literature on JSE indices, providing a more comprehensive understanding of market behaviors over different days of the week.