scholarly journals Day-of-the-week effect in some of the Gulf Cooperation Council (GCC) stock markets

2008 ◽  
Author(s):  
A. M. Al-Barrak
Keyword(s):  
Stock Markets ◽  
Gulf Cooperation Council ◽  
Day Of The Week

Seasonalities in Stock Markets: The Day of the Week Effect

2007 ◽  
Author(s):  
George Drogalas ◽  
Athianos Stergios ◽  
George Bakas ◽  
Elekidis George
Keyword(s):  
Stock Markets ◽  
Day Of The Week

scholarly journals Day of the Week Effect, Annual Returns and Volatility of Five Stock Markets in Southeast of Asia

2013 ◽  
Vol 5 (1) ◽  
Author(s):  
Mansooreh Kazemi Lari ◽  
Abbas Mardani ◽  
Mohsen Aghaeiboorkheili
Keyword(s):  
Stock Markets ◽  
Day Of The Week

Stock Market Efficiency in South Eastern Europe

2018 ◽  
pp. 214-237
Author(s):  
Vladimir Filipovski ◽  
Dragan Tevdovski
Keyword(s):  
Stock Markets ◽  
Ratio Test ◽  
Informational Efficiency ◽  
Eastern European ◽  
Dummy Variables ◽  
Calendar Effects ◽  
Random Walk Hypothesis ◽  
South Eastern ◽  
South Eastern Europe ◽  
Day Of The Week

The purpose of this chapter is to empirically test the informational efficiency and to examine the presence of the calendar effects in 10 South Eastern European (SEE) stock markets' daily returns during the period 2007–2014. The authors use variance ratio test for exploration of random walk hypothesis. Regarding the calendar effects, the authors focus on the day-of-the-week effect, the half-month effect, and the turn-of-the-month effect. The existence of each calendar effect is analyzed by applying regression models with dummy variables for the effects in the mean returns and GARCH (1,1) models with dummy variables for the effects in the volatility of returns. The results indicate that the day-of-the-week effects in both mean and volatility are present in nine SEE stock markets. Contrary, the half-month effect in mean returns is present only in one, while half-month effect in volatility is present in five SEE stock markets. The turn-of-the- month effect in mean returns is present in six, while the turn-of-the-month effect in volatility is present in all 10 SEE stock markets.

The Day of the Week Effect in the Central European Transition Stock Markets

2003 ◽  
Author(s):  
Plamen Georgiev Patev ◽  
Katerina Lyroudi ◽  
Nigokhos Krikorov Kanaryan
Keyword(s):  
Stock Markets ◽  
Central European ◽  
Day Of The Week

scholarly journals The Impact of Effective Corporate Boards and Audit Committees on Attracting Foreign Ownership in Listed Companies in the Gulf Cooperation Council

2017 ◽  
Vol 9 (2) ◽  
pp. 190
Author(s):  
Mohammed Gubran Al-shamahi ◽  
Kamarul Bahrain Abdul Manaf ◽  
Ali Saleh Al-arussi
Keyword(s):  
Firm Size ◽  
Stock Markets ◽  
Boards Of Directors ◽  
Listed Companies ◽  
Foreign Ownership ◽  
Gulf Cooperation Council ◽  
Audit Committees ◽  
Corporate Boards ◽  
Political Risks ◽  
The Impact

This study empirically examines the impact of effectiveness of both corporate boards and audit committee on foreign ownership in selected non-financial listed companies of the stock markets in Gulf Cooperation Council (GCC) countries. Contrary to previous studies, this study enters the firm size, leverage, exchange rate risks, inflation risks and economic growth as control variables. For the first time, it also includes the political risks’ variable as a control variable that may affect foreign ownership. In term of panel data regression analysis, the study was built on fixed effect model and conducted to the period of 2012-2015 for 143 non-financial listed companies on the GCC stock markets. Our results explain that foreign ownership is positively related to the effectiveness of both the boards of directors and the audit committees. Political risks and firm size are positively significant with foreign ownership, while the leverage is negatively related to foreign ownership. The implication of this study may help beneficiaries in making better policy decisions and provide guidance for corporate managers on the needs of foreign investors.

scholarly journals The January barometer in emerging markets: new evidence from the Gulf Cooperation Council stock exchanges

2019 ◽  
Vol 16 (4) ◽  
pp. 61-71
Author(s):  
Costas Siriopoulos ◽  
Layal Youssef
Keyword(s):  
Emerging Markets ◽  
Stock Markets ◽  
Predictive Power ◽  
Gulf Cooperation Council ◽  
Least Square ◽  
January Effect ◽  
Stock Exchanges ◽  
Market Anomalies ◽  
Gulf Countries ◽  
International Investors

International investors’ interest in the capital markets in the region of Gulf countries has dramatically increased in last two decades. Thus, it would be motivating to investigate their characteristics, where the January anomaly is a major one. This paper studies the veracity of the January effect rule in the Gulf Cooperation Council (GCC) stock markets and examines the predictive power of January returns. Seven GCC stock markets are tested – the market indices in Bahrain, Abu Dhabi, Dubai, Kuwait, Oman, Qatar, and Saudi Arabia – from January 1, 2001 until December 31, 2018, a timeframe which has rarely been analyzed. Ordinary least square (OLS)-based dummy variable regression equation was used as the conventional econometric procedure in the works of financial calendar anomalies in stock markets. Some evidence is reported for the markets of Dubai and Kuwait. The paper also provides an additional explanation for the performance of stock market of Kuwait. The findings are opposite to the well documented evidence that emerging markets are less efficient and hence it is likely that several market anomalies are further pronounced. The results suggest that the predictive power of the January anomaly can be considered as a temporary anomaly in the GCC markets, since it is concentrated in only a couple of GCC markets and does not persist in time.

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