Financial Contagion Patterns in Individual Economic Sectors. The Day-of-the-Week Effect from the Polish, Russian and Romanian Markets

Elena Valentina Țilică
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Elena Valentina Țilică: Department of Finance, The Bucharest University of Economic Studies, 5-7 Mihail Moxa Street, 010961 Bucharest, Romania
Authors registered in the RePEc Author Service: Elena Valentina Tilica

JRFM, 2021, vol. 14, issue 9, 1-28

Abstract: This paper studies the presence of the day-of-the-week (DOW) effect in the financial contagion process observed on individual economic sectors from the Post-Communist East European markets. The only markets that provide national-specific sector indices determined throughout the 2008 financial crisis are Poland, Romania and Russia. The novel methodology combines two existing perspectives from financial literature, by employing a GJR-GARCH framework on a dummy regression model that accounts for both the crisis period and the weekdays. All indices show the presence of the DOW effect during the crisis and/or non-crisis periods, thus signaling their low level of market efficiency. However, the contagion process affects only eight of these indices: the banking, IT and oil and gas sectors from Poland, the chemical, telecommunication and transport sectors from Russia and energy sectors from Russia and Romania. All of them show signs of the DOW effect in contagion: five exhibit higher spillovers on crisis Mondays, while the other three show other weekday patterns. The findings suggest that the DOW effect is not specific to certain countries or certain economic sectors.

Keywords: financial contagion; day-of-the-week effect; real economy sectors; financial sectors; emerging stock markets (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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