Title: The day of the week effects in the Stock Exchange of Casablanca: analysis by intraday and interday returns

Authors: Aida Sy; Abdelkader Derbali

Addresses: Critical Accounting Projects Inc., 77 Bleecker St. Suite 305W, New York, NY 10012, USA ' Department of Finance, Higher Institute of Management of Sousse, Sousse, Tunisia

Abstract: In this paper, we investigate empirically the day-of-the-week anomalies in the Stock Exchange of Casablanca. The OLS, GARCH(1, 1), EGARCH(1, 1) and TGARCH(1, 1) models were used to explain the existence of daily anomalies over the period of 3rd January 2005 to 29th August 2014. The data includes daily opening and closing index prices of the Stock Exchange of Casablanca. For the OLS empirical results verify that day of the week effects on the intraday and the interday do not affect the Moroccan Index MASI in the absence of the market risk factors. Most importantly, empirical results indicate that Thursday has a negative impact on stock returns in Moroccan Stock Exchange. For none normally of the return distributions of the MASI index, we use the GARCH models. The results from the GARCH models indicate the existence of day-of-the-week effects on stock returns and volatility of the Moroccan stock market.

Keywords: day of the week effect; intraday returns; interday returns; market risk factors; GARCH; EGARCH; TGARCH; Stock Exchange of Casablanca; Morocco; stock returns; market volatility; stock markets.

DOI: 10.1504/IJCA.2015.072003

International Journal of Critical Accounting, 2015 Vol.7 No.4, pp.366 - 386

Received: 02 May 2015
Accepted: 03 May 2015
Published online: 27 Sep 2015 *

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