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The Day Of The Week Effect In South Eastern Europe Stock Markets

Author

Listed:
  • DRAGAN TEVDOVSKI

    (UNIVERSITY “SS. CYRIL AND METHODIUS”)

  • MARTIN MIHAJLOV

    (UNIVERSITY “SS. CYRIL AND METHODIUS”)

  • IGOR SAZDOVSKI

    (UNIVERSITY “SS. CYRIL AND METHODIUS”)

Abstract

The main aim of this research is to examine existence of day of the week effect on the stock market indices in five countries from South Eastern Europe (SEE): Bosnia and Herzegovina, Bulgaria, Croatia, Macedonia and Serbia in the most recent period which is characterized by the bear market (from 2006 to 2011). The methodology used the regression with dummy variables, or so called Analysis of Variance (ANOVA) model. In addition Wald test is applied. The results imply that the mean daily return of the all five SEE indices is negative on Monday. The day of the week effect is found only in Croatian and Bulgarian Stock Market. In both stock markets, the mean daily returns of the leading indices are lower on Monday than the other days of the week and the results are statistically significant. The lower Monday mean daily returns are found also in Macedonian stock exchange index, but the results are not statistically significant. The mean daily returns of BELEX15 and BIFX indices in Tuesday are lower than mean daily return on Monday, but also without statistical significance.

Suggested Citation

  • Dragan Tevdovski & Martin Mihajlov & Igor Sazdovski, 2012. "The Day Of The Week Effect In South Eastern Europe Stock Markets," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 3, pages 20-24, September.
    • Handle: RePEc:cbu:jrnlec:y:2012:v:3:p:20-24
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    References listed on IDEAS

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    Cited by:

    1. Filipovski, Vladimir & Tevdovski, Dragan, 2017. "Stock market efficiency in South Eastern Europe: testing return predictability and presence of calendar effects," MPRA Paper 76818, University Library of Munich, Germany.
    2. Ivan S. Blahun & Lesia Dmytryshyn & Ivan I. Blahun & Semen Blahun, 2022. "Stock Indices as Indicators of Market Efficiency and Interaction," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 8, pages 87-106.
    3. Goran Karanovic & Bisera Karanovic, 2018. "The Day-of-the-Week Effect: Evidence from Selected Balkan Markets," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 65(1), pages 1-11, March.

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