IDEAS home Printed from https://ideas.repec.org/h/spr/prbchp/978-3-319-49559-0_18.html
   My bibliography  Save this book chapter

Ukrainian Exchange Returns: The Day-of-the-Week Effect

In: New Trends in Finance and Accounting

Author

Listed:
  • Zoriana Matsuk

    (Ivano-Frankivsk National Technical University of Oil and Gas)

  • Fitim Deari

    (South East European University)

Abstract

The day-of-the-week and weekend effect are examined by different authors and different evidences are found. There is no unique evidence as results of many studied factors. For example, the sample selected and methodology used is very important in results providing. This article tried to contribute also in this line brining evidence for case of Ukrainian Exchange Market. Authors believed that this study can be viewed as a pioneering work in this case. Even the study has own limitations, its evidence can be helpful for next studies and decision makers. The article contains empirical evidence that refute the day-of-the-week effect, one of the most recognized anomalies in stock markets. Evidence is generated using data from UX. Data were selected for the period January 2008–December 2015. Data were analyzed using Stata and Excel program. Data were corrected for observations belonging in Saturday. Hence, analyses were performed for trading days from Monday to Friday. Results were obtained using discretely compounded rate of return. Average return was analyzed per day and year, and then per day and month. Hence, Tuesday, Wednesday and Friday experienced a positive trend, whereas Monday and Thursday a negative trend of average return. Approaches based on the use of descriptive statistics, F-statistics and regression analysis allow refuting the weekend effect on the Ukrainian Exchange Market. Results denoted that index return in each day was negative, except Friday which was lower but non-negative. The study indicated that differences of returns between five days were insignificant. Thus, the study proved that the day-of-the-week effect wasn’t found in this case. The conclusions demonstrated effectiveness of the provisions of the efficient market hypothesis with respect to Ukraine’s stock market due to existence of the statistically refuted the “day-of-the-week effect”. Finally, authors believe that dividing the analyzed period into sub periods and using an advanced methodology is welcomed. Hence, this study remains an open window for next studies in the case of Ukrainian Stock Exchange toward examining the day-of-the-week and weekend effect.

Suggested Citation

  • Zoriana Matsuk & Fitim Deari, 2017. "Ukrainian Exchange Returns: The Day-of-the-Week Effect," Springer Proceedings in Business and Economics, in: David Procházka (ed.), New Trends in Finance and Accounting, chapter 0, pages 197-208, Springer.
    • Handle: RePEc:spr:prbchp:978-3-319-49559-0_18
    DOI: 10.1007/978-3-319-49559-0_18
    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.

    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:prbchp:978-3-319-49559-0_18. 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.