Abstract

MARTINS, Ana  and  OLIVEIRA, Luís. The day of the week effect in international stock markets. Rev. Portuguesa e Brasileira de Gestão [online]. 2013, vol.12, n.2, pp.14-29. ISSN 1645-4464.

This study aims to test the market efficiency hypothesis in the weak form, i.e., the assumption that stock prices always reflect all public available information, by verifying the presence or absence of the day of the week effect. Test the shares generating returns process according to the assumptions Trading Time and Calendar Time. The analysis is based on the daily evolution of the main European and international stock indexes, between 1988 and 2011 and the following sub-periods: 1988-1998, 1999-2011, 2000-July 2007 and August 2007-2011. The Trading Time hypothesis results suggest the existence of a Monday effect in the indexes of Greece, Italy, Japan and Hong Kong. Calendar Time hypothesis is rejected by the indexes of Greece and Hong Kong, concluding that the expected return on Monday will not be the triple of the other weekday’s returns. Final, we note that, according to both hypotheses Trading Time and Calendar Time, several indexes in some analyzed sub periods reject the efficiency market hypothesis, so we can conclude for the inefficiency of these equity markets.

Keywords : Day of the Week Effect; Market Efficiency; Stock Markets.

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