Abstract
Adequate knowledge about the effect of days of the week on stock market dynamics remains vital and essential information to investors. These will guide not only investment decisions but also planning for economic growth and development. Given that the Nigerian Stock Exchange has existed, its ability to generate confidence is still in doubt given the recent crash witnessed in the market. It means the confidence the exchange is expected to instil in investors is still not commensurable. It was against the forgoing that this study examined the days of the week effect and stock market dynamics in Nigerian Stock market. The study adopted the Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model and data were obtained from daily reports of the Nigerian Stock Exchange from 3rd January, 2011 to 31st December, 2015. The co-integration table indicated co-integration at 0.05 level which goes to shows that thereis a long run relationship between the days of the week and returns on NSE at 5% level of significance. The study also showed thatthere is a positive relationship between index returns on Tuesday, Wednesday, Thursday, Friday and Monday and the relationship is significant. The average return of NSE on every working day of the week is statistically significant.The mean return of each trading day is not significantly equal on at least one trading day and it has significantly mean difference.The recommendation is that Strategies need to be designed toward reaping abnormal returns by exploiting information and actions that enhance inefficiency in stock markets thus, firms and individuals should be encouraged to buy or sell securities outside their face values, as a means of encouraging business or economic activities in the economy.