Abstract:
1. Introduction
This study examines the impact of the day of the week listed on the
Colombo Stock Exchange (CSE) between 2017 and 2023. The influence of
daily seasonality on two particular industries is examined, considering
daily stock price behaviour with the weak form of the Efficient Market
Hypothesis (EMH). The aim of the study is to examine daily volatility in the
ASPI and two sector price indices while determining if it aligns with the
weak-form EMH.
2. Research Methodology
Using a quantitative, empirical methodology, this study examines the
impact of the day of the week on the Colombo Stock Exchange (CSE)
between 2017 and 2023. To find abnormalities historical stock data is
methodically examined using Ordinary Least Squares (OLS) regression.
Day-of-the-week price changes are evaluated and tested for using volatility
measurements like mean returns.
3. Findings and Discussion
Weekdays had no discernible impact on volatility for the ASPI, banking,
insurance, or textile and footwear industries. However, during the COVID-
19 waves, there was a noticeable change in volatility tendencies. During the
sample period, the day-of-the-week effect was influenced by outside
variables such as calendar effects, holidays, and trade volumes.
4. Conclusion and Implications
We discover that within the sample period, Volatility has no significance for
any of the weekdays in the ASPI, banking, insurance, or footwear and
textile sectors. These trends, however, alter with subsequent pandemic
waves.
Keywords: Colombo stock exchange, Day of the week effect, Efficient
market hypothesis, Volatility, Pandemic impact, Seasonality
