Title

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

Authors

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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