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Day-of-the-week effect in financial contagion. The case of the East-European markets

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  • Elena Valentina Tilica

Abstract

The paper analyses the day-of-the-week effect in financial contagion of the 2007- 09 crisis between the US and 17 East-European stock markets (18 national indexes). Results show that the pattern is present on most of these emerging and frontier markets, but its form varies from one index to another. However, some stock markets (Hungary, Lithuania, Romania, Serbia, Slovakia) do not exhibit behavior consistent with this calendar effect.

Suggested Citation

  • Elena Valentina Tilica, 2025. "Day-of-the-week effect in financial contagion. The case of the East-European markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 17(2), pages 99-105, December.
    • Handle: RePEc:rfb:journl:v:17:y:2025:i:2:p:99-105
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