The Day-of-the-Week Effect in the Saudi Stock Exchange: A Non-Linear Garch Analysis

Abstract

It is a well-known fact that the day-of-the-week effect in stock markets is one of the most
\nprominent puzzling seasonal anomalies in finance and has been increasingly attracting attention
\nfrom researchers and practitioners, as well as academics. This paper scrutinizes the day-of-theweek effect in the emerging equity market of Saudi Arabia, TADAWUL. By using a non-linear GARCH model and covering the data from January 2001 to December 2009, the findings of the study reveal that the returns on the five trading days follow different process. This confirms that mean daily returns are ignificantly different from each other and validates the day-of-the-week effect in TADAWUL.