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Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange

Author

Listed:
  • Sabina Nowak

    (University of Gdansk, Faculty of Management)

  • Joanna Olbrys

    (Bialystok University of Technology)

Abstract

The purpose of this study is to explore the day-of-the-week patterns in liquidity on the Warsaw Stock Exchange (WSE) using daily turnover as a liquidity measure. The existence of an inverted U-shape in the stock turnover across the trading days is examined. The research sample covers 2502 daily observations in the period January 2005 - December 2014. 53 WSE-listed companies divided into three size groups are investigated. In the study the OLS method with the HAC covariance matrix estimation and the GARCH-type models are employed. The results indicate that liquidity on the WSE tends to be significantly lower on Mondays and higher on Wednesdays in comparison with the other days of the week. However, the inverted U-shape in daily turnover occurs only among the companies with the largest market capitalization.

Suggested Citation

  • Sabina Nowak & Joanna Olbrys, 2015. "Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 49-69.
    • Handle: RePEc:cpn:umkdem:v:15:y:2015:p:49-69
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    File URL: https://apcz.umk.pl/DEM/article/view/DEM.2015.003/8946
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    References listed on IDEAS

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    Cited by:

    1. Olbrys, Joanna & Mursztyn, Michal, 2019. "Estimation of intraday stock market resiliency: Short-Time Fourier Transform approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).

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    More about this item

    Keywords

    market microstructure; day-of-the-week effect; liquidity; turnover; HAC; GARCH; Warsaw Stock Exchange;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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