The Day-of-the-Week Effect: Does Ownership Matter?

Asian Economic and Financial Review

article

Ohoud Abdel Hafiez Khasawneh¹ 

[1] Finance Department, Amman Arab University

关键词: Day-of-the-week effect;    Institutional and individual investors;    Jordanian and foreign investors;    EGARCH;    ASE.;   

DOI  :  10.55493/5002.v12i6.4519

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

The aim of this study is to determine the main player behind the existence of the day-of-the-week effect on the Amman Stock Exchange (ASE) by analyzing the trading patterns for investors using the EGARCH model. The sample comprised all companies trading in the financial sector during the period from January 2, 2008, to December 31, 2019. The results show that Jordanian investors are the main players behind the existence of this phenomenon. In contrast, foreign investors do not enhance the existence of this phenomenon. What is striking in the results is that Jordanian institutional investors are the main source of instability in the ASE. Instability in the market has prompted individual investors to imitate institutional investors. This means that traders make the most of their investment decisions based on imitating others, not on weighing the risks and returns, and this reflects a high risk in dealing with the ASE in particular.

【 授权许可】

CC BY