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

Elena Tilica

The Review of Finance and Banking, 2025, vol. 17, issue 2, 99-105

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.

Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:rfb:journl:v:17:y:2025:i:2:p:99-105

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