Day-of-the-Week Effect of Exchange Rate in Developing Countries

• 발행기관: 한국유통과학회
• 저자명: Cep Jandi ANWAR Nicholas OKOT Indra SUHENDRA
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.2, 15~23쪽, 전체 9쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.02.28

영문 초록

This study investigates the presence of the day-of-the-week anomaly in exchange rate for 30 developing countries with free floating exchange rate regimes using daily data from January 2, 2011 to December 31, 2019. First, we apply the GARCH panel to estimate the intraday effect for all the sampled countries. Second, we run poolability test to check whether the coefficients of the GARCH panel are the same for all countries sampled. The result of poolability test rejects the homogeneity assumption. This implies that our sample countries contain heterogeneity. Third, we apply mean-group estimation by averaging the coefficients for all individual GARCH estimations. Fourth, we divided our sample of developing countries into three groups based on capital restriction index for the reason that the effect of monetary policy on the exchange rate depends on the degree of capital account liberalization. The empirical evidence for the return equation suggests that Mondays are connected with lower volatility whereas Thursdays experiences higher return compared to Tuesdays. The lowest estimated coefficient for full sample, group 1 and group 2, is Friday, but for group 2 is Thursday. We find similar result for the volatility equations, which show that Monday returns are lower compared to Tuesday.

목차

Ⅰ. Introduction

Ⅱ. Literature Review

Ⅲ. Data and Methodology

Ⅳ. Empirical Results and Discussion

Ⅴ. Conclusion

키워드

Exchange Rate Day of the Week Effect GARCH Heterogeneity Poolability Test