WIT Press


Seasonal Behaviour Of The Volatility On European Stock Markets

Price

Free (open access)

Paper DOI

10.2495/CF060261

Volume

43

Pages

9

Published

2006

Size

432 kb

Author(s)

L. Jordán Sales, R. Mª. Cáceres Apolinario, O. Maroto Santana & A. Rodríguez Caro

Abstract

The existence of seasonal behaviour in return and volatility of different international stock exchanges may be considered as an indication of nonintegrated financial markets. A type of this abnormal behaviour is the day of the week effect, which implies investment opportunities. This type of opportunity is studied in this paper, focused on the analysis of the day of the week effect on the major European stock markets using GARCH and T-ARCH models. Results show evidence in favour of day of the week effect in the volatility in the most of the studied countries. Keywords: day of the week effect, volatility, GARCH, T-ARCH. 1 Introduction The increasing internationalisation of the main economies from developed nations has given the investor additional choices when considering his portfolio. He is no longer obliged to focus his attention on the financial markets where the assets of his own country are listed in the stock market but instead may look towards other investment horizons whose markets offer opportunities to obtain greater results with respect to profit and risk. This scenery is characterised by significant relaxation of national barriers, thus allowing for the entrance of foreign capital, and its repercussions are seen in the considerable increase in international capital flows.

Keywords

day of the week effect, volatility, GARCH, T-ARCH.