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Analyzing the Existence of the Day of the Week Effect in Selected Emerging Country Stock Exchanges

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  • Murat Çinko

    (Department of Business Administration, Marmara University, Istanbul, Turkey)

  • Emin Avci

    (Department of Business Administration, Marmara University, Istanbul, Turkey)

  • Aslı Aybars

    (Department of Business Administration, Marmara University, Istanbul, Turkey)

  • Mehtap Öner

    (Department of Business Administration, Marmara University, Istanbul, Turkey)

Abstract

Calendar anomalies, specifically Day of the Week (DoW) effect, have attracted considerable attention by academicians and practitioners during the last decades. This study investigates the existence of DoW effect in 13 emerging stock markets by utilizing an observation period of 12 years. Whereas the findings of the study reveal the presence of negative Monday effects for Indonesia, Malaysia, and Thailand; positive Monday returns are found in South Africa contrary to expectations. Furthermore; positive Friday returns are observed in 9 of the markets belonging to Argentina, Brazil, Bulgaria, Indonesia, Malaysia, Romania, Thailand, Tunisia, and Turkey. Additional results document the presence of positive Wednesday and Thursday returns for most of the markets analyzed.

Suggested Citation

  • Murat Çinko & Emin Avci & Aslı Aybars & Mehtap Öner, 2014. "Analyzing the Existence of the Day of the Week Effect in Selected Emerging Country Stock Exchanges," International Journal of Corporate Finance and Accounting (IJCFA), IGI Global, vol. 1(2), pages 33-43, July.
    • Handle: RePEc:igg:jcfa00:v:1:y:2014:i:2:p:33-43
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