The Day of the Week Effect in the Central European Transition Stock Markets

Abstract

The study examines the presence of the day-of-the-week effect anomaly in the Central European stock markets. We consider the Romanian, Hungarian, Latvian, Czech, Russian, Slovak, Slovenian and Polish stock markets during the period September 22, 1997 to March 29, 2002. Our results indicated that the Czech and Romanian markets have significant negative Monday returns while the Slovenian market has significant positive Wednesday returns and has non-significant negative returns on Fridays. The Polish and Slovak markets have no day-of-the week effect anomaly. We applied the GARCH -M (1,1) model to test whether the day-of-the-week effect is influenced by the stock market risk.

Keywords: Day-of-the-week effect, Central European Transition Stock

JEL Classification: G14, G15, N20