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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
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    File URL: http://e-finanse.com/artykuly_eng/316.pdf
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    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

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