The Wandering Day of the Week Effect: Evidence from the Dhaka Stock Exchange

Abstract

This study examines the wandering nature of the day of the week effect
in the Dhaka Stock Exchange (DSE). Using the DGEN (later continued as the
DSEX) as the benchmark index to measure daily returns over the period
between November, 2001 and September, 2018, this study provides evidence
that the day of the week effect is present in the whole sample period as well as in
the September, 2005-September, 2018 sub-sample period. However, when the
day of the week effect is examined in each of the sample year, the effect is not
found to be consistent. Lowest returns are found on Sunday as the first trading
day, Sunday as the second trading day and Tuesday. Moreover, the first trading
day of the week is not always significantly negative but significantly positive. On
the other hand, the highest returns are found on Saturday, Sunday, Monday,
Tuesday, Wednesday and Thursday. Overall, results of this study support the
wandering nature of the day of the week effect in the DSE.