DAY OF THE WEEK ANOMALY IN COLOMBO STOCK EXCHANGE: IS IT A RESULT OF INAPPROPRIATE TEST METHODS?

Authors

  • A.G.C. Gunathilaka Lecturer, Department of Finance Faculty of Management Studies & Commerce University of Sri Jayewardenepura Nugegoda

Abstract

This study tests the presence of Day of the Week effect of returns on All Share Price Index of Colombo Stock Exchange (CSE). It essentially examines random walk hypothesis in determining the market efficiency. The daily returns over a period of 22 years from1991 to 2012 are tested using both parametric and non-parametric statistics. The study finds strong evidence for day of the week effect, that the mean daily returns of every trading day of the week are not equal. There is no evidence for random walk hypothesis. Friday returns are positive and significantly higher than that of other week days. Monday and Tuesday returns are negative, and these results display no difference between test methods, parametric or non-parametric. The study finds no evidence to validate informational efficiency of CSE; the investor/manager strategies might outperform the market.

Keywords: Day of the week, Efficiency, Stock, Colombo.

For full Paper: fmscresearch@sjp.ac.lk

Author Biography

A.G.C. Gunathilaka, Lecturer, Department of Finance Faculty of Management Studies & Commerce University of Sri Jayewardenepura Nugegoda

Lecturer, Department of Finance Faculty of Management Studies & Commerce University of Sri Jayewardenepura Nugegoda

Published

2014-05-24

Issue

Vol. 10 (2013): Proceedings of the 10th International Conference on Business Management - 2013

Section

Articles