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

Goran Karanovic and Bisera Karanovic

Scientific Annals of Economics and Business (continues Analele Stiintifice), 2018, vol. 65, issue 1, 1 - 11

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

Keywords: stock market anomalies; day of the week effect; efficient market hypothesis; financial markets of Balkans (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://saeb.feaa.uaic.ro/index.php/saeb/article/view/1081 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aic:saebjn:v:65:y:2018:i:1:p:1-11:n:99

Access Statistics for this article

More articles in Scientific Annals of Economics and Business (continues Analele Stiintifice) from Alexandru Ioan Cuza University, Faculty of Economics and Business Administration Contact information at EDIRC.
Bibliographic data for series maintained by Sireteanu Napoleon-Alexandru ().