IDEAS home Printed from https://ideas.repec.org/h/spr/conchp/978-3-319-47021-4_35.html
   My bibliography  Save this book chapter

Day of the Week Effect in the Stock Markets of Fragile Five Countries After 2008 Global Financial Crisis

In: Global Financial Crisis and Its Ramifications on Capital Markets

Author

Listed:
  • Murat Akbalik

    (Marmara University)

  • Nasif Ozkan

    (Dumlupinar University)

Abstract

In this study, it is analyzed the existence of day of the week effect in the stock markets of Brazil, India, Indonesia, Turkey and South Africa which are named as fragile five countries (BIITS). To determine this effect in fragile five countries; daily closing price data of basic indices of the stock markets of these countries’ for the period (2 January 2009–31 December 2015) and Kruskal-Wallis test and Wilcoxon rank sum test which are non-parametric statistical analysis methods, are used. The results obtained in this study supports the literature findings that day of the week effect is reducing in developed and emerging markets in the recent years for fragile five countries for the period after the 2008 global financial crisis. The findings indicate that, except Indonesia, day of the week effect doesn’t exist in other four countries’ stock markets. In Indonesia stock market, the lowest return is on Monday, highest return is on Wednesday.

Suggested Citation

  • 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.
  • Handle: RePEc:spr:conchp:978-3-319-47021-4_35
    DOI: 10.1007/978-3-319-47021-4_35
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Badal Khan & Muhammad Aqil & Syed Hasnain Alam Kazmi & Syed Imran Zaman, 2023. "Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia†," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 544-561, January.
    2. Elda du Toit & John Henry Hall & Rudra Prakash Pradhan, 2018. "The day-of-the-week effect: South African stock market indices," African Journal of Economic and Management Studies, Emerald Group Publishing Limited, vol. 9(2), pages 197-212, June.
    3. 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.
    4. 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.
    5. Mohamed CHIKHI & Ali BENDOB & Ahmed Ramzi SIAGH, 2019. "Day-of-the-week and month-of-the-year effects on French Small-Cap Volatility: the role of asymmetry and long memory," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 10, pages 221-248, December.

    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:spr:conchp:978-3-319-47021-4_35. 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.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.