Day-of-the-Week Effect: Is it an Industry-Specific Phenomenon?

Abstract

The weekend effect in stock returns is reexamined for Nepalese Stock market using broad index and industrial indices by accounting for the beginning of the week difference for the sample period 1995 to 2005. This study is particularly motivated by Joshi and K.C. (2005) who report the Thursday effect for broad stock market (Nepal Stock Exchange (NEPSE)) index and Brusa, Liu and Schulman (2003), who document that Monday effect exists not only in broad stock market but also in most of the industrial indices for US stock market and thus is not an industry-–specific phenomenon. The results of the studies indicate that the day-of-the-week effect does not exist in broad index, but it exists only in few of the industries and is thus the industry-specific phenomenon. This finding is inconsistent to that observed for stock market of the US. Disappearing phenomenon across industries is observed. Economic Journal of Nepal Vol.29(1) 2006 pp.1-12