Day of the Week Effect on the Warsaw Stock Exchange

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Published:
Oct 21, 2006
Issue
No. 60 (2006)
Section
Artykuły
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Joanna Landmesser
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
https://orcid.org/0000-0001-7286-8536

DOI: https://doi.org/10.22630/EIOGZ.2006.60.40
Keywords : day of the week effect, GARCH model
Abstract
This study tests the presence of the day of the week effect on stock market volatility for Warsaw Stock Exchange during the period of January 2002 and December 2005 by using a GARCH models. The findings show that the day of the week effect is present in both volatility and return equation. The highest returns are observed on Monday and Friday and the highest volatility is observed for Monday

Article Details

How to Cite
Landmesser, J. (2006). Day of the Week Effect on the Warsaw Stock Exchange. Zeszyty Naukowe SGGW - Ekonomika I Organizacja Gospodarki Żywnościowej, (60), 187–196. https://doi.org/10.22630/EIOGZ.2006.60.40
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