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Day of the Week Effect in the Stock Markets of Fragile Five Countries After 2008 Global Financial Crisis

In: Global Financial Crisis and Its Ramifications on Capital Markets

Author

Listed:
  • Murat Akbalik

    (Marmara University)

  • Nasif Ozkan

    (Dumlupinar University)

Abstract

In this study, it is analyzed the existence of day of the week effect in the stock markets of Brazil, India, Indonesia, Turkey and South Africa which are named as fragile five countries (BIITS). To determine this effect in fragile five countries; daily closing price data of basic indices of the stock markets of these countries’ for the period (2 January 2009–31 December 2015) and Kruskal-Wallis test and Wilcoxon rank sum test which are non-parametric statistical analysis methods, are used. The results obtained in this study supports the literature findings that day of the week effect is reducing in developed and emerging markets in the recent years for fragile five countries for the period after the 2008 global financial crisis. The findings indicate that, except Indonesia, day of the week effect doesn’t exist in other four countries’ stock markets. In Indonesia stock market, the lowest return is on Monday, highest return is on Wednesday.

Suggested Citation

  • Murat Akbalik & Nasif Ozkan, 2017. "Day of the Week Effect in the Stock Markets of Fragile Five Countries After 2008 Global Financial Crisis," Contributions to Economics, in: Ümit Hacioğlu & Hasan Dinçer (ed.), Global Financial Crisis and Its Ramifications on Capital Markets, pages 507-518, Springer.
    • Handle: RePEc:spr:conchp:978-3-319-47021-4_35
    DOI: 10.1007/978-3-319-47021-4_35
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    Citations

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    Cited by:

    1. Badal Khan & Muhammad Aqil & Syed Hasnain Alam Kazmi & Syed Imran Zaman, 2023. "Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia†," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 544-561, January.
    2. Nicu MARCU & Carmen Elena DOBROTA & Raluca ANTONEAC (CALIN), 2017. "An Investigation of the Day-of-the-week Effect in Conditional Variance at the Bucharest Stock Exchange," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 124-134, June.
    3. Sakhr Miss & Michel Charifzadeh & Tim A. Herberger, 2020. "Revisiting the monday effect: a replication study for the German stock market," Management Review Quarterly, Springer, vol. 70(2), pages 257-273, May.
    4. Mohamed CHIKHI & Ali BENDOB & Ahmed Ramzi SIAGH, 2019. "Day-of-the-week and month-of-the-year effects on French Small-Cap Volatility: the role of asymmetry and long memory," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 10, pages 221-248, December.

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