The day-of-the-week effect in stock returns - Further evidence from eastern European emerging markets

    Authors

    R. A. Ajayi; S. Mehdian;M. J. Perry

    Comments

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    Abbreviated Journal Title

    Emerg. Mark. Financ. Trade

    Keywords

    Eastern European stock markets; efficient markets hypothesis; event; studies; international financial markets; INTERNATIONAL EVIDENCE; Business; Economics; International Relations

    Abstract

    Existing literature on the day-of-the-week stock return anomaly focuses mainly on the United States and other advanced economics with little or no attention to the emerging markets, including those of Eastern Europe. In an attempt to address this gap in the literature, this paper conducts an empirical investigation of the day-of-the-week stock return anomaly using major market stock indices in eleven Eastern European emerging markets (EEEM). The empirical results indicate negative Monday returns in six of the EEEMs and positive Monday returns in the remaining five. Two of the six negative Monday returns and only one of the five positive Monday returns are statistically significant. These findings provide no consistent evidence to support the presence of any significant daily patterns in the stock market returns of the EEEM.

    Journal Title

    Emerging Markets Finance and Trade

    Volume

    40

    Issue/Number

    4

    Publication Date

    1-1-2004

    Document Type

    Article

    Language

    English

    First Page

    53

    Last Page

    62

    WOS Identifier

    WOS:000222910200005

    ISSN

    1540-496X

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