IDEAS home Printed from https://ideas.repec.org/a/vrs/aicuec/v65y2018i1p1-11n5.html
   My bibliography  Save this article

The Day-of-the-Week Effect: Evidence from Selected Balkan Markets

Author

Listed:
  • Karanovic Goran

    (University of Rijeka, Croatia)

  • Karanovic Bisera

    (Business School PAR, Croatia)

Abstract

The main aim of this paper is to investigate the existence of the “day of the week” financial effect in select Balkans stock markets indices. Many findings of market anomalies have corroborated the presence of the “day of the week” effect in developed markets; however, so far scarce research has been presented on this subject for the Balkan capital markets. Hence, an additional objective of this paper is to examine the impact of this market anomaly on the market efficiency hypothesis. The methodology used in this paper employs a regression including dummy variables which will help determine the existence of the effect. The authors use daily mean returns of selected stock indices found to be lower at the beginning of the week but not necessarily on Monday. The results are interpreted and expounded taking into consideration the history and market development. The paper provides academia and investors as well as policy makers new perspective of the market anomalies linked to the financial behavior of the capital markets in select Balkan countries.

Suggested Citation

  • Karanovic Goran & Karanovic Bisera, 2018. "The Day-of-the-Week Effect: Evidence from Selected Balkan Markets," Scientific Annals of Economics and Business, Sciendo, vol. 65(1), pages 1-11, March.
    • Handle: RePEc:vrs:aicuec:v:65:y:2018:i:1:p:1-11:n:5
    DOI: 10.2478/saeb-2018-0005
    as

    Download full text from publisher

    File URL: https://doi.org/10.2478/saeb-2018-0005
    Download Restriction: no
    File URL: https://libkey.io/10.2478/saeb-2018-0005?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    stock market anomalies; day of the week effect; efficient market hypothesis; financial markets of Balkans;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

    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:vrs:aicuec:v:65:y:2018:i:1:p:1-11:n:5. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Peter Golla (email available below). General contact details of provider: https://www.sciendo.com .

    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.