The Day-of-the-Week Effect in Stock Returns : Further Evidence from Eastern European Emerging Markets
AbstractExisting literature on the day-of-the-week stock return anomaly focuses mainly on the United States and other advanced economies with little or no attention to the emerging markets, including those of Eastern Europe. In an attempt to address this gap in the literature, this paper conducts an empirical investigation of the day-of-the-week stock return anomaly using major market stock indices in eleven Eastern European emerging markets (EEEM). The empirical results indicate negative Monday returns in six of the EEEMs and positive Monday returns in the remaining five. Two of the six negative Monday returns and only one of the five positive Monday returns are statistically significant. These findings provide no consistent evidence to support the presence of any significant daily patterns in the stock market returns of the EEEM.
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Bibliographic InfoArticle provided by M.E. Sharpe, Inc. in its journal Emerging Markets Finance and Trade.
Volume (Year): 40 (2004)
Issue (Month): 4 (July)
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Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=111024
Eastern European stock markets; efficient markets hypothesis; event studies; international financial markets;
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