Day of the Week Effect in the Central and Eastern European Transition Stock Markets and Higher Moments of Security Returns

Abstract

Our study examines the presence of the day-of-the-week effect anomaly in the Central and Eastern European stock markets. We consider the Romanian, Hungarian, Latvian, Czech, Russian, Slovakian, 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 returns on Monday, while the Slovenian market has significant positive returns on Wednesday and has non-significant negative returns on Fridays. The Polish and Slovakian 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 Markets