Title: Day-of-the-week effect around the 2008 financial crisis

Authors: Nikolas L. Hourvouliades; Vassilis Polimenis

Addresses: Anatolia Business School, The American College of Thessaloniki, P.O. Box 21021, Pylea-Thessaloniki, 55510, Greece. ' Division of Business Administration, School of Law and Economics, Aristotle University, KT. NOE 202, Thessaloniki, 54124, Greece

Abstract: This paper investigates the existence and possible changes of day-of-the-week effect before and during the 2008 financial crisis. We use six regional equity markets of varying degrees of maturity. While for the sample period Bulgaria, Romania, Cyprus and Ukraine are clearly considered emerging markets, the Greek and the Turkish markets are characterised by large overall capitalisations and exhibit significantly more depth and turnover. Our tests are non-parametric, allowing for relaxation of the normality in the data. Our findings show mixed evidence: in the more developed markets of Greece and Turkey, day-of-the-week effects fade away during the crisis. Contrary to Bulgaria, Cyprus shows no evidence of significant market inefficiency. Finally, Romania and Ukraine report opposite results, by exhibiting day-of-the-week effect during the crisis sub-period. The contradictory evidence is probably due to a different level of maturity, liquidity and interdependence for these markets.

Keywords: day-of-the-week effect; equality of mean; distribution; variance; financial crisis; equity markets; emerging markets; developed markets; Greece; Turkey; Bulgaria; Cyprus; market inefficiency; Romania; Ukraine; maturity; liquidity; interdependence.

DOI: 10.1504/GBER.2012.049862

Global Business and Economics Review, 2012 Vol.14 No.4, pp.283 - 307

Accepted: 22 Dec 2011
Published online: 29 Jul 2014 *

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