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The Day-Of-The-Week Effect On Bucharest Stock Exchange

Author

Listed:
  • Iulian PANAIT

    (Hyperion University, Faculty of Economic Sciences)

  • Carmen Marilena UZLAU

    (Hyperion University, Faculty of Economic Sciences)

  • Corina Maria ENE

    (Hyperion University, Faculty of Economic Sciences)

Abstract
This study investigates the presence on Bucharest Stock Exchange of one of the most documented seasonal anomalies of financial assets’ returns: the day-of-the-week effect. We use daily returns for five Romanian official exchange indices and for one MSCI Barra country index during May 2007- March 2013, thereby including both the 2007-2009 financial markets meltdown and the 2009-2012 recovery that followed it. We employed a GARCH-M model with dummy variables for both the mean and the variance equation, but the results obtained don’t offer clear enough and sufficient statistically significant arguments to confirm the presence of the above mentioned effects on all the six indices investigated.

Suggested Citation

  • Iulian PANAIT & Carmen Marilena UZLAU & Corina Maria ENE, 2013. "The Day-Of-The-Week Effect On Bucharest Stock Exchange," Internal Auditing and Risk Management, Athenaeum University of Bucharest, vol. 29(1), pages 28-41, March.
    • Handle: RePEc:ath:journl:v:29:y:2013:i:1:p:28-41
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    Cited by:

    1. Goran Karanovic & Bisera Karanovic, 2018. "The Day-of-the-Week Effect: Evidence from Selected Balkan Markets," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 65(1), pages 1-11, March.

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