<abstract xml:lang="en" xmlns="http://www.w3.org/1999/xhtml"><p>This paper explores the intersection between market integration and Weekend Effect by investigating the possibility of integration to occur in a certain day over the period of 1 January 1990 until 31 December 2010. The integration was retrieved from the intercept time varying rolling regression of Stehle's (1977) ICAPM Model. Meanwhile, the Weekend effect is captured by the intercept time varying rolling regression of French's (1980) Monday Effect Model. For robustness, we modified the French's Model to examine the seasonality inside market integration with Exchange Rate and Oil Prices as the control variable. This research remarks the seasonality of Lithuanian stock market integration.</p></abstract>

This paper explores the intersection between market integration and Weekend Effect by investigating the possibility of integration to occur in a certain day over the period of 1 January 1990 until 31 December 2010. The integration was retrieved from the intercept time varying rolling regression of Stehle's (1977) ICAPM Model. Meanwhile, the Weekend effect is captured by the intercept time varying rolling regression of French's (1980) Monday Effect Model. For robustness, we modified the French's Model to examine the seasonality inside market integration with Exchange Rate and Oil Prices as the control variable. This research remarks the seasonality of Lithuanian stock market integration.

Does Integration Occur on a Certain Day? The Case of the Lithuanian Stock Market

Finance Cluster. School of Management, Universiti Sains Malaysia

South East European Journal of Economics and Business

{"article-title":"Does Integration Occur on a Certain Day? The Case of the Lithuanian Stock Market"}

This paper explores the intersection between market integration and Weekend Effect by investigating the possibility of integration to occur in a certain day...

Does Integration Occur on a Certain Day? The Case of the Lithuanian Stock Market

Published Online: Jan 27, 2012

Page range: 13 - 21

DOI: https://doi.org/10.2478/v10033-011-0012-0

Keywords
Market Integration, Weekend Anomaly, Portfolio Benefit, Lithuanian Stock Market

This content is open access.

Does Integration Occur on a Certain Day? The Case of the Lithuanian Stock Market

Published Online: Jan 27, 2012

Page range: 13 - 21

DOI: https://doi.org/10.2478/v10033-011-0012-0

KeywordsMarket Integration, Weekend Anomaly, Portfolio Benefit, Lithuanian Stock Market

This content is open access.

Keywords
Market Integration, Weekend Anomaly, Portfolio Benefit, Lithuanian Stock Market