<abstract xmlns="http://www.w3.org/1999/xhtml"><p> The text touches on the subject of the financial markets in the context of behavioral theories. The author attempts to verify the occurrence of one of the popular calendar effects, the day-of-the- -week effect, on the Polish stock market. Another limitation of the study area of the research is to include in the analysis only small companies. Many voices from the mainstream of behavioral finance say that the presence of anomalies listed is more evident in the case of small companies, which are not the focus of the majority of investors. In the proposed study, the data used contained companies in the Stock Exchange in Warsaw, with a maximum capitalization of 10 million PLN. Research sample includes quotations of these companies during the period January 2010-April 2014. In order to verify the hypothesis of the occurrence of the day-of-the-week effect among these companies the author used ARCH modeling. In the course of the analysis the author verified negatively the occurrence of the effect of weekdays in the proposed research sample.</p></abstract>

The text touches on the subject of the financial markets in the context of behavioral theories. The author attempts to verify the occurrence of one of the popular calendar effects, the day-of-the- -week effect, on the Polish stock market. Another limitation of the study area of the research is to include in the analysis only small companies. Many voices from the mainstream of behavioral finance say that the presence of anomalies listed is more evident in the case of small companies, which are not the focus of the majority of investors. In the proposed study, the data used contained companies in the Stock Exchange in Warsaw, with a maximum capitalization of 10 million PLN. Research sample includes quotations of these companies during the period January 2010-April 2014. In order to verify the hypothesis of the occurrence of the day-of-the-week effect among these companies the author used ARCH modeling. In the course of the analysis the author verified negatively the occurrence of the effect of weekdays in the proposed research sample.

Day-of-the-Week Effect among the Smallest Enterprises Listed on WSE

University of Lodz, Faculty of Economics and Sociology, Department of Corporate Finance,

Financial Internet Quarterly

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

{"article-title":"Day-of-the-Week Effect among the Smallest Enterprises Listed on WSE"}

The text touches on the subject of the financial markets in the context of behavioral theories. The author attempts to verify the occurrence of one of the...

Day-of-the-Week Effect among the Smallest Enterprises Listed on WSE

Publicado en línea: 08 feb 2017

Páginas: 92 - 102

Recibido: 17 mar 2015

Aceptado: 12 oct 2015

DOI: https://doi.org/10.1515/fiqf-2016-0121

Palabras clave
stock markets, stock anomalies, calendar anomalies, Warsaw Stock Exchange

© 2017

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Day-of-the-Week Effect among the Smallest Enterprises Listed on WSE

Publicado en línea: 08 feb 2017

Páginas: 92 - 102

Recibido: 17 mar 2015

Aceptado: 12 oct 2015

DOI: https://doi.org/10.1515/fiqf-2016-0121

Palabras clavestock markets, stock anomalies, calendar anomalies, Warsaw Stock Exchange

© 2017

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Palabras clave
stock markets, stock anomalies, calendar anomalies, Warsaw Stock Exchange