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The Day-of-the-Week Effect in Stock Returns : Further Evidence from Eastern European Emerging Markets

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  • RICHARD A. AJAYI
  • SEYED MEHDIAN
  • MARK J. PERRY
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    Abstract

    Existing 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 Info

    Article provided by M.E. Sharpe, Inc. in its journal Emerging Markets Finance and Trade.

    Volume (Year): 40 (2004)
    Issue (Month): 4 (July)
    Pages: 53-62

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    Handle: RePEc:mes:emfitr:v:40:y:2004:i:4:p:53-62

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    Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=111024

    Related research

    Keywords: Eastern European stock markets; efficient markets hypothesis; event studies; international financial markets;

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    Cited by:
    1. Ruchika Gahlot & Saroj Kumar Datta, 2012. "Impact of future trading on stock market: a study of BRIC countries," Studies in Economics and Finance, Emerald Group Publishing, vol. 29(2), pages 118-132, June.
    2. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
    3. Högholm, Kenneth & Knif, Johan, 2009. "The impact of portfolio aggregation on day-of-the-week effect: Evidence from Finland," Global Finance Journal, Elsevier, vol. 20(1), pages 67-79.

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