Testing the Monday Effect in the Case of Republic of North Macedonia’s MBI10 Index

Fitim Deari () and Fisnik Morina ()
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Fitim Deari: South East European University
Fisnik Morina: Universiteti Haxhi Zeka

Chapter Chapter 3 in Financial Markets and Corporate Reporting under Geopolitical Risks, 2024, pp 51-59 from Springer

Abstract: Abstract This study aims to investigate the Monday effect in the case of Republic of North Macedonia’s MBI10 Index over the period from January 24, 2022, to January 23, 2023. Results obtained from regression estimations, nonparametric tests, and related examination confirm existence of the negative Monday effect. Accordingly, the study reveals that, on average, the daily return on Monday is significantly lower than the daily return over the rest subsequent trading days. Thus, on average, on Monday is evidenced −0.24% daily return, while putting together the rest subsequent trading days exhibited 0.03% daily return.

Keywords: Monday effect; Return anomaly; Regression; Nonparametric tests (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-031-62998-3_3

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DOI: 10.1007/978-3-031-62998-3_3

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