Day-of-the-Week Effect in Post-Communist East European Stock Markets
Journal Title: International Journal of Academic Research in Accounting, Finance and Management Sciences - Year 2014, Vol 4, Issue 3
Abstract
This study examines the day-of-the-week effect in 18 Post-Communist East European stock markets: Bosnia, Bulgaria, Croatia, Czech Republic, Estonia, Former Yugoslav Republic of Macedonia, Hungary, Kazakhstan, Latvia, Lithuania, Montenegro, Poland, Romania, Russia, Serbia, Slovakia, Slovenia and Ukraine, over the period January 2005 to March 2014. The results indicate the presence of day-of-the-week effect in Bosnia, Bulgaria, Croatia, Latvia, Serbia and Slovenia even after we incorporate in the analysis the market risk, proxied by the return on the Dow Jones Global Total Stock Market Index.
Authors and Affiliations
Dragos Stefan Oprea, Elena Valentina Tilica
Keywords
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- EP ID EP116136
- DOI 10.6007/IJARAFMS/v4-i3/1058
- Views 106
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