DAY OF THE WEEK EFFECT IN SMALL SECURITIES MARKETS

Virgilijus Sakalauskas, Dalia Kriksciuniene

2007

Abstract

In this article statistical investigation of the day-of-the-week effect was explored for the case of small securities market. By applying statistical analysis of Vilnius Stock OMX Index return data, the effect was not observed. After rearranging data to the meaningful subsets of return variable the significant difference among Monday and Friday compared pairwise to the other days of the week, has been observed. The hypothesis of equality of the higher moments across days of the week could be rejected by indicating that a weekly pattern on the higher moments exists.

Paper Citation

in Harvard Style

Sakalauskas V. and Kriksciuniene D. (2007). DAY OF THE WEEK EFFECT IN SMALL SECURITIES MARKETS . In Proceedings of the Ninth International Conference on Enterprise Information Systems - Volume 2: ICEIS, ISBN 978-972-8865-89-4, pages 432-435. DOI: 10.5220/0002383404320435

in Bibtex Style

@conference{iceis07,
author={Virgilijus Sakalauskas and Dalia Kriksciuniene},
title={DAY OF THE WEEK EFFECT IN SMALL SECURITIES MARKETS},
booktitle={Proceedings of the Ninth International Conference on Enterprise Information Systems - Volume 2: ICEIS,},
year={2007},
pages={432-435},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0002383404320435},
isbn={978-972-8865-89-4},
}

in EndNote Style

TY - CONF
JO - Proceedings of the Ninth International Conference on Enterprise Information Systems - Volume 2: ICEIS,
TI - DAY OF THE WEEK EFFECT IN SMALL SECURITIES MARKETS
SN - 978-972-8865-89-4
AU - Sakalauskas V.
AU - Kriksciuniene D.
PY - 2007
SP - 432
EP - 435
DO - 10.5220/0002383404320435