IDEAS home Printed from https://ideas.repec.org/a/rjr/romjef/vy2017i2p124-134.html
   My bibliography  Save this article

An Investigation of the Day-of-the-week Effect in Conditional Variance at the Bucharest Stock Exchange

Author

Listed:
  • Nicu MARCU

    (University of Bucharest, Faculty of Administration and Business, Bucharest, Romania.)

  • Carmen Elena DOBROTA

    (Bucharest University of Economic Studies, Economics Doctoral School, Bucharest, Romania.)

  • Raluca ANTONEAC (CALIN)

    (Bucharest University of Economic Studies, Economics Doctoral School, Bucharest, Romania.)

Abstract

The Efficient Market Hypothesis (EMH) advances the idea that the prices of financial assets reflect all the existent information and that investors cannot obtain abnormal returns by exploiting past trading records, public or private information. Despite this fact, financial literature has heavily documented that stock returns may vary during the trading week which could be considered a challenge for the classical EMH specifications. This paper considers these oscillations that are associated to the day-of- the effect. In a GARCH-based framework, we test for the presence of this seasonal anomaly among a series of most liquid companies listed on the Bucharest Stock Exchange. Our results demonstrate the absence of the day-of-the-week anomaly for the Romanian stock market.

Suggested Citation

  • Nicu MARCU & Carmen Elena DOBROTA & Raluca ANTONEAC (CALIN), 2017. "An Investigation of the Day-of-the-week Effect in Conditional Variance at the Bucharest Stock Exchange," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 124-134, June.
    • Handle: RePEc:rjr:romjef:v::y:2017:i:2:p:124-134
    as

    Download full text from publisher

    File URL: http://www.ipe.ro/rjef/rjef2_17/rjef2_2017p124-134.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. repec:ntu:ntugeo:vol2-iss1-14-042 is not listed on IDEAS
    2. Swarn Chatterjee, 2017. "Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes," Papers 1701.07175, arXiv.org.
    3. Richard A. Ajayi & Seyed Mehdian & Mark J. Perry, 2004. "The Day-of-the-Week Effect in Stock Returns : Further Evidence from Eastern European Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 40(4), pages 53-62, July.
    4. Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    5. Adrian Cantemir Calin & Tiberiu Diaconescu & Oana – Cristina Popovici, 2014. "Nonlinear Models for Economic Forecasting Applications: An Evolutionary Discussion," Computational Methods in Social Sciences (CMSS), "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, vol. 2(1), pages 42-47, June.
    6. Jeffrey Jaffe & R. Westerfield, "undated". "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers 3-85, Wharton School Rodney L. White Center for Financial Research.
    7. Georgios Bampinas & Stilianos Fountas & Theodore Panagiotidis, 2015. "The Day-of-the-Week Effect is Weak: Evidence from the European Real Estate Sector," Working Paper series 15-19, Rimini Centre for Economic Analysis.
    8. Jaffe, Jeffrey F & Westerfield, Randolph, 1985. "The Week-End Effect in Common Stock Returns: The International Evidence," Journal of Finance, American Finance Association, vol. 40(2), pages 433-454, June.
    9. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    10. Lakonishok, Josef & Levi, Maurice, 1982. "Weekend Effects on Stock Returns: A Note," Journal of Finance, American Finance Association, vol. 37(3), pages 883-889, June.
    11. Jeffrey Jaffe & R. Westerfield, "undated". "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers 03-85, Wharton School Rodney L. White Center for Financial Research.
    12. Nickolaos Tsangarakis, 2007. "The day-of-the-week effect in the Athens Stock Exchange (ASE)," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1447-1454.
    13. Radu Lupu & Adrian Cantemir Calin, 2014. "To QE or Not to QE? The Japanese Experience," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, vol. 2(2), pages 3-10, June.
    14. Lucian Liviu ALBU & Radu LUPU & Adrian Cantemir CĂLIN, 2016. "Quantitative Easing, Tapering And Stock Market Indices," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(3), pages 5-23.
    15. G. Kohers & N. Kohers & V. Pandey & T. Kohers, 2004. "The disappearing day-of-the-week effect in the world's largest equity markets," Applied Economics Letters, Taylor & Francis Journals, vol. 11(3), pages 167-171.
    16. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, vol. 54(4), pages 579-596, October.
    17. Murat Akbalik & Nasif Ozkan, 2017. "Day of the Week Effect in the Stock Markets of Fragile Five Countries After 2008 Global Financial Crisis," Contributions to Economics, in: Ümit Hacioğlu & Hasan Dinçer (ed.), Global Financial Crisis and Its Ramifications on Capital Markets, pages 507-518, Springer.
    18. Eugene F. Fama & Kenneth R. French, 2004. "The Capital Asset Pricing Model: Theory and Evidence," Journal of Economic Perspectives, American Economic Association, vol. 18(3), pages 25-46, Summer.
    19. Gonzalez-Perez, Maria T. & Guerrero, David E., 2013. "Day-of-the-week effect on the VIX. A parsimonious representation," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 243-260.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Swarn Chatterjee & Amy Hubble, 2016. "Day-Of-The-Week Effect In Us Biotechnology Stocks — Do Policy Changes And Economic Cycles Matter?," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 1-17, June.
    2. Swarn Chatterjee, 2017. "Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes," Papers 1701.07175, arXiv.org.
    3. Dumitriu, Ramona & Stefanescu, Razvan, 2013. "DOW effects in returns and in volatility of stock markets during quiet and turbulent times," MPRA Paper 47218, University Library of Munich, Germany, revised 02 Apr 2013.
    4. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, December.
    5. Högholm, Kenneth & Knif, Johan, 2009. "The impact of portfolio aggregation on day-of-the-week effect: Evidence from Finland," Global Finance Journal, Elsevier, vol. 20(1), pages 67-79.
    6. Syed Muhammad Majid Shah & Fahad Abdullah, 2015. "A Study of Day of the Week Effect in Karachi Stock Exchange During Different Political Regimes in Pakistan," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 7(1), pages 41-66, April.
    7. Shahid Raza & Sun Baiqing & Imtiaz Hussain & Pwint Kay-Khine, 2023. "Do good and bad news affect the day of the week effect? An analysis of the KSE-100 Index," SN Business & Economics, Springer, vol. 3(7), pages 1-22, July.
    8. Sakhr Miss & Michel Charifzadeh & Tim A. Herberger, 2020. "Revisiting the monday effect: a replication study for the German stock market," Management Review Quarterly, Springer, vol. 70(2), pages 257-273, May.
    9. Baur, Dirk G. & Cahill, Daniel & Godfrey, Keith & (Frank) Liu, Zhangxin, 2019. "Bitcoin time-of-day, day-of-week and month-of-year effects in returns and trading volume," Finance Research Letters, Elsevier, vol. 31(C), pages 78-92.
    10. Trabelsi, Mohamed Ali, 2010. "Choix de portefeuille: comparaison des différentes stratégies [Portfolio selection: comparison of different strategies]," MPRA Paper 82946, University Library of Munich, Germany, revised 01 Dec 2010.
    11. Kiymaz, Halil & Berument, Hakan, 2003. "The day of the week effect on stock market volatility and volume: International evidence," Review of Financial Economics, Elsevier, vol. 12(4), pages 363-380.
    12. Mehmet Dicle & John Levendis, 2014. "The day-of-the-week effect revisited: international evidence," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(3), pages 407-437, July.
    13. Paul Alagidede & Theodore Panagiotidis, 2006. "Calendar Anomalies in an Emerging African Market: Evidence from the Ghana Stock Exchange," Discussion Paper Series 2006_13, Department of Economics, Loughborough University, revised Jun 2006.
    14. Frank J. Finn & Anthony Lynch & Simon Moore, 1991. "Intra-Week Regularities in Security Returns: Further Australian Evidence," Australian Journal of Management, Australian School of Business, vol. 16(2), pages 129-144, December.
    15. Chowdhury, Anup & Uddin, Moshfique & Anderson, Keith, 2022. "Trading behaviour and market sentiment: Firm-level evidence from an emerging Islamic market," Global Finance Journal, Elsevier, vol. 53(C).
    16. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001. "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 249-286, November.
    17. H. Kent Baker & Abdul Rahman & Samir Saadi, 2008. "The day‐of‐the‐week effect and conditional volatility: Sensitivity of error distributional assumptions," Review of Financial Economics, John Wiley & Sons, vol. 17(4), pages 280-295, December.
    18. Stephen Easton, 1990. "Returns to Equity Before and After Holidays: Australian Evidence and Tests of Plausible Hypotheses," Australian Journal of Management, Australian School of Business, vol. 15(2), pages 281-296, December.
    19. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998. "The dangers of data-driven inference: the case of calender effects in stock returns," LSE Research Online Documents on Economics 119142, London School of Economics and Political Science, LSE Library.
    20. Diego Winkelried & Luis A. Iberico, 2018. "Calendar effects in Latin American stock markets," Empirical Economics, Springer, vol. 54(3), pages 1215-1235, May.

    More about this item

    Keywords

    day-of-the weak; efficient market hypothesis; calendar anomalies;
    All these keywords.

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rjr:romjef:v::y:2017:i:2:p:124-134. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Corina Saman (email available below). General contact details of provider: https://edirc.repec.org/data/ipacaro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.