 The Effect of the Day and the Risk Diversification on the WSEAgata Gluzicka ()
A chapter in Contemporary Trends and Challenges in Finance, 2020, pp 21-29 from Springer Abstract: Abstract The article presents the results of empirical research on the occurrence of the effect of the day on the Warsaw Stock Exchange. The analysis was carried out for the daily rates of return of selected stock exchange indices in the period 2010–2018. In addition, the effect of the day for well-diversified portfolios such as Rao’s Quadratic Entropy Portfolios and the Most Diversified Portfolios, was also analyzed. One of the goals of the research was to establish whether the determined effect of the day is reflected in the level of diversification of the constructed portfolios. On the basis of the conducted research, it was determined that the day effect on the WSE occurs only in specific (annual) periods. This dependence was determined both for the rates of return of stocks as well as for the rates of return of portfolios. The occurrence of the effect of the day for a group of indices does not always translate into similar regularities for rates of return of portfolios or for the level of diversification of investment portfolios. Date: 2020 There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-43078-8_2 Ordering information: This item can be ordered from DOI: 10.1007/978-3-030-43078-8_2 Access Statistics for this chapter More chapters in Springer Proceedings in Business and Economics from Springer |
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