Day-of-the-week effect around the 2008 financial crisis

This paper investigates the existence and possible changes of day-of-the-week effect before and during the 2008 financial crisis. We use six regional equity markets of varying degrees of maturity. While for the sample period Bulgaria, Romania, Cyprus and Ukraine are clearly considered emerging markets, the Greek and the Turkish markets are characterised by large overall capitalisations and exhibit significantly more depth and turnover. Our tests are non-parametric, allowing for relaxation of the normality in the data. Our findings show mixed evidence: in the more developed markets of Greece and Turkey, day-of-the-week effects fade away during the crisis. Contrary to Bulgaria, Cyprus shows no evidence of significant market inefficiency. Finally, Romania and Ukraine report opposite results, by exhibiting day-of-the-week effect during the crisis sub-period. The contradictory evidence is probably due to a different level of maturity, liquidity and interdependence for these markets.