Abstract
PurposeThe purpose of this paper is to empirically investigate the Saturday effect in three emerging stock markets (Bahrain, Kuwait, and Saudi Arabia) by taking into consideration the thin trading that is normal in such capital markets.Design/methodology/approachThe paper applies the stochastic dominance (SD) approach, which is not distribution‐dependent and can shed light on the utility and wealth implications of portfolio preferences by exploiting information in higher order moments, to investigate empirically the existence of the Saturday effect in the three Gulf stock markets.FindingsThe findings indicate that the Saturday effect does not manifest itself in the three Gulf stock markets and that the SD results show that the Saturday effect in these markets is not present when raw data are corrected for thin and infrequent trading.Originality/valueThis paper is believed to be the first to use SD approach to examine the Saturday effect.
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