IDEAS home Printed from https://ideas.repec.org/a/rze/efinan/v11y2016i3p92-102.html
   My bibliography  Save this article

Day-of-the-week effect among the smallest enterprises listed on WSE

Author

Listed:
  • Jakub Keller

    (University of Lodz, Faculty of Economics and Sociology, Department of Corporate Finance)

Abstract

The text touches on the subject of the fi nancial markets in the context of behavioral theories. The author att empts to verify the occurrence of one of the popular calendar eff ects, the day-of-the- -week eff ect, on the Polish stock market. Another limitati on of the study area of the research is to include in the analysis only small companies. Many voices from the mainstream of behavioral fi nance say that the presence of anomalies listed is more evident in the case of small companies, which are not the focus of the majority of investors. In the proposed study, the data used contained companies in the Stock Exchange in Warsaw, with a maximum capitalizati on of 10 million PLN. Research sample includes quotati ons of these companies during the period January 2010-April 2014. In order to verify the hypothesis of the occurrence of the day-of-the-week eff ect among these companies the author used ARCH modeling. In the course of the analysis the author verifi ed negati vely the occurrence of the eff ect of weekdays in the proposed research sample.

Suggested Citation

  • Jakub Keller, 2016. "Day-of-the-week effect among the smallest enterprises listed on WSE," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 11(3), pages 92-102, February.
    • Handle: RePEc:rze:efinan:v:11:y:2016:i:3:p:92-102
    as

    Download full text from publisher

    File URL: http://e-finanse.com/artykuly_eng/316.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Gerald D. Gay & Tae‐Hyuk Kim, 1987. "An investigation into seasonality in the futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 7(2), pages 169-181, April.
    2. Dyl, Edward A & Maberly, Edwin D, 1986. "The Weekly Pattern in Stock Index Futures: A Further Note," Journal of Finance, American Finance Association, vol. 41(5), pages 1149-1152, December.
    3. Asli Bayar & Ozgur Berk Kan, 2002. "Day of the Week Effects : Recent Evidence from Nineteen Stock Markets," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 2(2), pages 77-90.
    4. Agrawal, Anup & Tandon, Kishore, 1994. "Anomalies or illusions? Evidence from stock markets in eighteen countries," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 83-106, February.
    5. Lakonishok, Josef & Maberly, Edwin, 1990. "The Weekend Effect: Trading Patterns of Individual and Institutional Investors," Journal of Finance, American Finance Association, vol. 45(1), pages 231-243, March.
    6. Ziemba, William T., 1991. "Japanese security market regularities : Monthly, turn-of-the-month and year, holiday and golden week effects," Japan and the World Economy, Elsevier, vol. 3(2), pages 119-146, September.
    7. repec:bla:jfinan:v:43:y:1988:i:2:p:431-50 is not listed on IDEAS
    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. Ramesh Chander & Kiran Mehta, 2007. "Anomalous Market Movements and the Rolling Settlement: Empirical Evidence from Indian Stock Markets," Vision, , vol. 11(4), pages 31-44, October.
    2. Cemal Berk Oğuzsoy & Sibel Güven, 2006. "Turn of the Month and Turn of the Month Surrounding Days Effects in Istanbul Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 5(1), pages 1-13, April.
    3. Edwin D. Maberly & Daniel F. Waggoner, 2000. "Closing the question on the continuation of turn-of-the-month effects: evidence from the S&P 500 Index futures contract," FRB Atlanta Working Paper 2000-11, Federal Reserve Bank of Atlanta.
    4. Lean, Hooi Hooi & Smyth, Russell & Wong, Wing-Keung, 2007. "Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 125-141, April.
    5. 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.
    6. Guglielmo Maria Caporale & Luis Gil-Alana, 2011. "The weekly structure of US stock prices," Applied Financial Economics, Taylor & Francis Journals, vol. 21(23), pages 1757-1764.
    7. 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.
    8. Satish K. Mittal & Sonal Jain, 2009. "Stock Market Behaviour: Evidences from Indian Market," Vision, , vol. 13(3), pages 19-29, July.
    9. Kohers, Theodor & Patel, Jayen B., 1996. "An examination of the day-of-the-week effect in junk bond returns over business cycles," Review of Financial Economics, Elsevier, vol. 5(1), pages 31-46.
    10. Mehmet Hasan Eken & Taylan Ozgür Uner, 2010. "Calendar Effects in the Stock Market and a Practice Relatedn to the Istanbul Stock Exchange Market (ISEM)," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 12(45), pages 59-95.
    11. Stefanescu, Razvan & Dumitriu, Ramona, 2013. "MOY effects in returns and in volatilities of the Romanian capital market," MPRA Paper 52474, University Library of Munich, Germany, revised 28 Oct 2013.
    12. Bohl, Martin T. & Schuppli, Michael & Siklos, Pierre L., 2010. "Stock return seasonalities and investor structure: Evidence from China's B-share markets," China Economic Review, Elsevier, vol. 21(1), pages 190-201, March.
    13. Lee, Yu Kyung & Kim, Ryumi, 2022. "The turn-of-the-month effect and trading of types of investors," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    14. Roberto Joaquín Santillán Salgado & Alejandro Fonseca Ramírez & Luis Nelson Romero, 2019. "The "day-of-the-week" effects in the exchange rate of Latin American currencies," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 485-507, Agosto 20.
    15. Vesna Karadžic & Tamara Backovic Vulic, 2011. "The Montenegrin Capital Market: Calendar Anomalies," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 56(191), pages 107-122, October-D.
    16. Giovanis, Eleftherios, 2009. "Calendar Effects and Seasonality on Returns and Volatility," MPRA Paper 64404, University Library of Munich, Germany.
    17. Restocchi, Valerio & McGroarty, Frank & Gerding, Enrico, 2019. "Statistical properties of volume and calendar effects in prediction markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1150-1160.
    18. Stefanescu Razvan & Dumitriu Ramona, 2020. "Changes of the Time Intervals Specific to Calendar Anomalies: the Case of TOQ Effect on Bucharest Stock Exchange," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 264-273.
    19. Krzysztof Borowski, 2015. "Analysis of the Weekend Effect on the Markets of 121 Equity Indices and 29 Commodities," Eurasian Journal of Business and Management, Eurasian Publications, vol. 3(4), pages 23-35.
    20. Jonathan Wiley & Leonard Zumpano, 2009. "Institutional Investment and the Turn-of-the-Month Effect: Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 180-201, August.

    More about this item

    Keywords

    stock markets; stock anomalies; calendar anomalies; Warsaw Stock Exchange;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    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:rze:efinan:v:11:y:2016:i:3:p:92-102. 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: Pawel Bochenek (email available below). General contact details of provider: https://edirc.repec.org/data/igwsipl.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.