(Academy of Business and Retail Management, 2015-11) Mazviona, Batsirai Winmore; Ndlovu, Milton Webb
This study analysed the day of the week effect on the Zimbabwe Stock Exchange (ZSE) by taking
into account volatility of returns. The purpose of the study was to establish whether daily mean returns
across a trading week differ from each other. We employ a non-linear approach in modelling the day of the
week effects. In particular, we used the Generalised Autoregressive Conditional Heteroscedasticity
(GARCH) and the Exponential GARCH (EGARCH) models. We used industrial and mining daily
closing indices data from 19 February 2009 to 31 December 2013. The data was retrieved from the ZSE
website. EViews 7 software was utilised for data analysis. In order to test the null hypothesis of equality of
daily mean returns, a Wald test was carried out. The Wald F-statistic rejected the null hypothesis of
equality of mean returns for the industrial index. We found the traditional negative Monday and positive
Friday effect for the industrial index in GARCH (1,1) and EGARCH (1,1) models. The GARCH (1,1)
detected a negative Friday effect and the EGARCH (1,1) detected negative Wednesday effect for the
mining index. We found evidence of model dependency for the mining index results.