Market Anomalies in the A.S.E: The Day of the Week Effect

19 Pages Posted: 19 Jun 2002

See all articles by Katerina Lyroudi

Katerina Lyroudi

University of Macedonia - Accounting and Finance

Demetres Subeniotis

University of Macedonia

George Komisopoulos

University of Macedonia

Date Written: February 25, 2002

Abstract

This study examines empirically the day of the week effect anomaly in the Athens Stock Exchange (ASE). This phenomenon is observed in many developed and developing markets, according to the existing literature. The results of the most significant studies and the possible explanations of this anomaly are presented briefly in this paper.

For the empirical part of the study, we used closing prices of the Composite Index for the period 03/01/1994-30/12/1999 and for the sub periods 03/01/1994-31/12/1996 and 02/01/1997-30/12/1999. In addition, we used closing prices of the FTSE20 Index for the period 25/07/1997-30/12/1999. Our results indicated that the day of the week effect is strongly observed in the Greek Stock market during the second sub period. However, it is in a different form than the one observed in the other developed capital markets since the negative returns occur on Thursdays instead of Mondays or Tuesdays as it has been observed in most of the other markets.

Suggested Citation

Lyroudi, Katerina and Subeniotis, Demetres and Komisopoulos, George, Market Anomalies in the A.S.E: The Day of the Week Effect (February 25, 2002). EFMA 2002 London Meetings. Available at SSRN: https://ssrn.com/abstract=314394 or http://dx.doi.org/10.2139/ssrn.314394

Katerina Lyroudi (Contact Author)

University of Macedonia - Accounting and Finance ( email )

156 Egnatia Str.
Thessaloniki, 54006
Greece
+30 31 891 674 (Phone)
+30 31 844 536 (Fax)

Demetres Subeniotis

University of Macedonia ( email )

156 Egnatia St.
P.O. 1591
Thessaloniki, 54006
Greece

George Komisopoulos

University of Macedonia

156 Egnatia St.
P.O. 1591
Thessaloniki, 54006
Greece

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