Ukrainian Exchange Returns: The Day-of-the-Week Effect

Zoriana Matsuk () and Fitim Deari ()
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Zoriana Matsuk: Ivano-Frankivsk National Technical University of Oil and Gas
Fitim Deari: South East European University

Chapter Chapter 18 in New Trends in Finance and Accounting, 2017, pp 197-208 from Springer

Abstract: Abstract The day-of-the-week and weekend effect are examined by different authors and different evidences are found. There is no unique evidence as results of many studied factors. For example, the sample selected and methodology used is very important in results providing. This article tried to contribute also in this line brining evidence for case of Ukrainian Exchange Market. Authors believed that this study can be viewed as a pioneering work in this case. Even the study has own limitations, its evidence can be helpful for next studies and decision makers. The article contains empirical evidence that refute the day-of-the-week effect, one of the most recognized anomalies in stock markets. Evidence is generated using data from UX. Data were selected for the period January 2008–December 2015. Data were analyzed using Stata and Excel program. Data were corrected for observations belonging in Saturday. Hence, analyses were performed for trading days from Monday to Friday. Results were obtained using discretely compounded rate of return. Average return was analyzed per day and year, and then per day and month. Hence, Tuesday, Wednesday and Friday experienced a positive trend, whereas Monday and Thursday a negative trend of average return. Approaches based on the use of descriptive statistics, F-statistics and regression analysis allow refuting the weekend effect on the Ukrainian Exchange Market. Results denoted that index return in each day was negative, except Friday which was lower but non-negative. The study indicated that differences of returns between five days were insignificant. Thus, the study proved that the day-of-the-week effect wasn’t found in this case. The conclusions demonstrated effectiveness of the provisions of the efficient market hypothesis with respect to Ukraine’s stock market due to existence of the statistically refuted the “day-of-the-week effect”. Finally, authors believe that dividing the analyzed period into sub periods and using an advanced methodology is welcomed. Hence, this study remains an open window for next studies in the case of Ukrainian Stock Exchange toward examining the day-of-the-week and weekend effect.

Keywords: Anomaly; Day-of-the-week effect; Efficient market hypothesis (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-319-49559-0_18

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DOI: 10.1007/978-3-319-49559-0_18

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