Day of the Week Effect in the Central and Eastern European Transition Stock Markets and Higher Moments of Security Returns

18 Pages Posted: 6 Feb 2004

See all articles by Katerina Lyroudi

Katerina Lyroudi

University of Macedonia - Accounting and Finance

Apostolos Dasilas

University of Macedonia

Plamen Patev

I Shou University, Department of International Finance; ABIR Analytics

Nigokhos Krikorov Kanaryan

New Bulgarian University

Date Written: January 14, 2004

Abstract

Our study examines the presence of the day-of-the-week effect anomaly in the Central and Eastern European stock markets. We consider the Romanian, Hungarian, Latvian, Czech, Russian, Slovakian, 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 returns on Monday, while the Slovenian market has significant positive returns on Wednesday and has non-significant negative returns on Fridays. The Polish and Slovakian 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 Markets

Suggested Citation

Lyroudi, Katerina and Dasilas, Apostolos and Patev, Plamen and Kanaryan, Nigokhos Krikorov, Day of the Week Effect in the Central and Eastern European Transition Stock Markets and Higher Moments of Security Returns (January 14, 2004 ). Available at SSRN: https://ssrn.com/abstract=499982 or http://dx.doi.org/10.2139/ssrn.499982

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)

Apostolos Dasilas

University of Macedonia ( email )

156 Egnatia St.
P.O. 1591
Thessaloniki, 54006
Greece

Plamen Patev

I Shou University, Department of International Finance ( email )

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

ABIR Analytics ( email )

Nigokhos Krikorov Kanaryan

New Bulgarian University ( email )

21 Montevideo Str.
Sofia, 1618
Bulgaria

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