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The Effect of the Day and the Risk Diversification on the WSE

In: Contemporary Trends and Challenges in Finance

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  • Agata Gluzicka

    (University of Economics in Katowice)

Abstract

The article presents the results of empirical research on the occurrence of the effect of the day on the Warsaw Stock Exchange. The analysis was carried out for the daily rates of return of selected stock exchange indices in the period 2010–2018. In addition, the effect of the day for well-diversified portfolios such as Rao’s Quadratic Entropy Portfolios and the Most Diversified Portfolios, was also analyzed. One of the goals of the research was to establish whether the determined effect of the day is reflected in the level of diversification of the constructed portfolios. On the basis of the conducted research, it was determined that the day effect on the WSE occurs only in specific (annual) periods. This dependence was determined both for the rates of return of stocks as well as for the rates of return of portfolios. The occurrence of the effect of the day for a group of indices does not always translate into similar regularities for rates of return of portfolios or for the level of diversification of investment portfolios.

Suggested Citation

  • Agata Gluzicka, 2020. "The Effect of the Day and the Risk Diversification on the WSE," Springer Proceedings in Business and Economics, in: Krzysztof Jajuga & Hermann Locarek-Junge & Lucjan T. Orlowski & Karsten Staehr (ed.), Contemporary Trends and Challenges in Finance, pages 21-29, Springer.
    • Handle: RePEc:spr:prbchp:978-3-030-43078-8_2
    DOI: 10.1007/978-3-030-43078-8_2
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