THE EXISTENCE OF THE DAY-OF-THE-WEEK EFFECT

Veronika Novotna, Stanislav Skapa and Milan Krapek

Proceedings of the INTERNATIONAL MANAGEMENT CONFERENCE, 2020, vol. 14, issue 1, 915-923

Abstract: Both market participants and numerous academics and experts strive to understand the behaviour of financial markets, more specifically the movements investment instruments’ prices and generation of profits. As early as in the 1980s, expert studies began to emerge, which, thanks to empirical testing, discovered certain phenomena in the markets that were in conflict with the theory of efficient markets due to the below-average or above-average return potential of investment instruments. These phenomena are referred to as anomalies disrupting the theory of efficient markets. In this paper, the authors aim to verify the existence of the so-called day of the week effect in selected capital markets. The following methods will be used to achieve the goal: analysis, comparison and deduction. Specifically, analysis will be used, for example, to analyse the properties describing individual types of anomalies. Comparison will focus, for example, on comparing the results of empirical testing between selected periods and then it shall evaluate the conclusions following from these results for selected markets. Deduction will help examine whether the stated hypothesis is able to fully explain the presence of anomalies in the financial market.

Keywords: finantial markets; efficient markets; day of the week effect (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:rom:mancon:v:14:y:2020:i:1:p:915-923

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