Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/147134
Authors: 
Keller, Jakub
Year of Publication: 
2015
Citation: 
[Journal:] e-Finanse: Financial Internet Quarterly [ISSN:] 1734-039X [Volume:] 11 [Year:] 2015 [Issue:] 3 [Pages:] 92-102
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 limitati on 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 verifi ed negatively the occurrence of the effect of weekdays in the proposed research sample.
Subjects: 
stock markets
stock anomalies
calendar anomalies
Warsaw Stock Exchange
JEL: 
G14
Persistent Identifier of the first edition: 
Document Type: 
Article

Files in This Item:
File
Size
913.26 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.