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The Day-of-the-Week Effect: Evidence from Selected Balkan Markets

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  • Goran Karanovic
  • Bisera Karanovic

Abstract

The main aim of this paper is to investigate the existence of the “day of the week†financial effect in select Balkans stock markets indices. Many findings of market anomalies have corroborated the presence of the “day of the week†effect in developed markets; however, so far scarce research has been presented on this subject for the Balkan capital markets. Hence, an additional objective of this paper is to examine the impact of this market anomaly on the market efficiency hypothesis. The methodology used in this paper employs a regression including dummy variables which will help determine the existence of the effect. The authors use daily mean returns of selected stock indices found to be lower at the beginning of the week but not necessarily on Monday. The results are interpreted and expounded taking into consideration the history and market development. The paper provides academia and investors as well as policy makers new perspective of the market anomalies linked to the financial behavior of the capital markets in select Balkan countries. JEL Codes - C32; G02; G10

Suggested Citation

  • 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.
    • Handle: RePEc:aic:saebjn:v:65:y:2018:i:1:p:1-11:n:99
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    File URL: http://saeb.feaa.uaic.ro/index.php/saeb/article/view/1081
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    References listed on IDEAS

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    More about this item

    Keywords

    stock market anomalies; day of the week effect; efficient market hypothesis; financial markets of Balkans;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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