New Evidence for the Day-of-the-Week Effect in the Financial Crisis

14 Pages Posted: 17 Feb 2010

See all articles by Nick Kourkoumelis

Nick Kourkoumelis

affiliation not provided to SSRN

Nikolaos L. Hourvouliades

American College of Thessaloniki

Multiple version iconThere are 2 versions of this paper

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

Kourkoumelis, Nick and Hourvouliades, Nikolaos L., New Evidence for the Day-of-the-Week Effect in the Financial Crisis (February 16, 2010). Available at SSRN: https://ssrn.com/abstract=1553667 or http://dx.doi.org/10.2139/ssrn.1553667

Nick Kourkoumelis

affiliation not provided to SSRN

Nikolaos L. Hourvouliades (Contact Author)

American College of Thessaloniki ( email )

Thessaloniki, 55510
Greece

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