期刊名称：Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie
印刷版ISSN：1844-7007
出版年度：2012
卷号：3
出版社：Academica Brâncuşi
摘要：The main aim of this research is to examine existence of day of the week effect on the stock market indices in five countries from South Eastern Europe (SEE): Bosnia and Herzegovina, Bulgaria, Croatia, Macedonia and Serbia in the most recent period which is characterized by the bear market (from 2006 to 2011). The methodology used the regression with dummy variables, or so called Analysis of Variance (ANOVA) model. In addition Wald test is applied. The results imply that the mean daily return of the all five SEE indices is negative on Monday. The day of the week effect is found only in Croatian and Bulgarian Stock Market. In both stock markets, the mean daily returns of the leading indices are lower on Monday than the other days of the week and the results are statistically significant. The lower Monday mean daily returns are found also in Macedonian stock exchange index, but the results are not statistically significant. The mean daily returns of BELEX15 and BIFX indices in Tuesday are lower than mean daily return on Monday, but also without statistical significance
关键词：calendar anomalies; the day of the week effect; daily returns; SEE
