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

Murat Çinko, Emin Avci, Aslı Aybars and Mehtap Öner
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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

International Journal of Corporate Finance and Accounting (IJCFA), 2014, vol. 1, issue 2, 33-43

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.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:igg:jcfa00:v:1:y:2014:i:2:p:33-43

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