New Evidence for the Day-of-the-Week Effect in the Financial Crisis
14 Pages Posted: 17 Feb 2010
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New Evidence for the Day-of-the-Week Effect in the Financial Crisis
Date Written: February 16, 2010
Abstract
This paper investigates the nature of the day-of-the-week effects during the contemporary financial crisis. For this reason five equity markets are selected: Greece, Turkey, Bulgaria, Romania and Cyprus. Our main focus is in the possible change in the markets’ characteristics before and during the financial crisis. We apply multiple statistical tests for equality of means, distribution and variance for each day of the week, for each sub-period of the sample. Our tests are also non-parametric allowing for relaxation of the normality in the data. Our findings show mixed evidence. The contradictory evidence in each market’s efficiency pattern is probably due to a different level of maturity and interdependence.
Keywords: Day-of-the-week effect, equality of mean, distribution and variance
JEL Classification: C32, G10
Suggested Citation: Suggested Citation
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