The Day of the Week Effect in the Central European Transition Stock Markets

Tsenov Academy of Economics Finance and Credit Working Paper No. 03-06

17 Pages Posted: 5 Sep 2003

See all articles by Plamen Patev

Plamen Patev

I Shou University, Department of International Finance; ABIR Analytics

Katerina Lyroudi

University of Macedonia - Accounting and Finance

Nigokhos Krikorov Kanaryan

New Bulgarian University

Abstract

The study examines the presence of the day-of-the-week effect anomaly in the Central European stock markets. We consider the Romanian, Hungarian, Latvian, Czech, Russian, Slovak, Slovenian and Polish stock markets during the period September 22, 1997 to March 29, 2002. Our results indicated that the Czech and Romanian markets have significant negative Monday returns while the Slovenian market has significant positive Wednesday returns and has non-significant negative returns on Fridays. The Polish and Slovak markets have no day-of-the week effect anomaly. We applied the GARCH -M (1,1) model to test whether the day-of-the-week effect is influenced by the stock market risk.

Keywords: Day-of-the-week effect, Central European Transition Stock

JEL Classification: G14, G15, N20

Suggested Citation

Patev, Plamen and Lyroudi, Katerina and Kanaryan, Nigokhos Krikorov, The Day of the Week Effect in the Central European Transition Stock Markets. Tsenov Academy of Economics Finance and Credit Working Paper No. 03-06, Available at SSRN: https://ssrn.com/abstract=434501 or http://dx.doi.org/10.2139/ssrn.434501

Plamen Patev (Contact Author)

I Shou University, Department of International Finance ( email )

No.1, Sec. 1, Syuecheng Rd., Dashu District,
Kaohsiung, 84001
Taiwan

ABIR Analytics ( email )

Katerina Lyroudi

University of Macedonia - Accounting and Finance ( email )

156 Egnatia Str.
Thessaloniki, 54006
Greece
+30 31 891 674 (Phone)
+30 31 844 536 (Fax)

Nigokhos Krikorov Kanaryan

New Bulgarian University ( email )

21 Montevideo Str.
Sofia, 1618
Bulgaria

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