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

Karanovic Goran () and Karanovic Bisera ()
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Karanovic Goran: University of Rijeka, Croatia
Karanovic Bisera: Business School PAR, Croatia

Scientific Annals of Economics and Business, 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.

Keywords: stock market anomalies; day of the week effect; efficient market hypothesis; financial markets of Balkans (search for similar items in EconPapers)
JEL-codes: C32 G02 G10 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:aicuec:v:65:y:2018:i:1:p:1-11:n:5

DOI: 10.2478/saeb-2018-0005

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