Variability Analysis of Weekly Trading of Dhaka Stock Exchange

Abstract

Day-of-the-week effect is a popular focus of study in finance and economics. Several studies on Dhaka Stock Exchange (DSE) recognize presence of this effect under six-days-a-week trading. This paper investigated the presence and nature of trends under five-days-a-week trading at DSE regarding its three practiced indices. The study uses Markov chain model and found that the probability of getting lower returns is highest on Mondays, and that of getting higher returns is highest on Thursdays.