The day-of-the-week effect in the Athens Stock Exchange (ASE)

Abstract

This study examines the day-of-the-week effect in the ASE for the period 1981 to 2002. Findings reveal that the day-of-the-week effect is not a dominant phenomenon. There is no systematic pattern across the days of the week suggesting that investors may have improved risk pricing.

Acknowledgements

The author wishes to thank Nickolaos G. Travlos for generously providing the ASE data for the period 1981 to 1990 and for his useful comments and suggestions. I also thank George Leledakis for his helpful comments, and Mark Taylor (the editor) and an anonymous associate editor of this journal for their constructive suggestions.

Notes

¹ See Cross (1973), French (1980), Gibbons and Hess (1981), Lakonishok and Levi (1982, 1985), Rogalski (1984), Keim and Stambaugh (1984), Harris (1986), and Smirlock and Starks (1986).

² Negative returns on Tuesdays were also found by Jaffe and Westerfield (1985a, b), Condoyanni et al. (1987), Jaffe et al. (1989), Chang et al. (1993), Athanassakos and Robinson (1994), Dubois and Louvent (1996) and Tong (2000).

³ Aly et al. (2004) investigating the Egyptian stock market report that the positive Monday returns are not significantly different from returns of the rest of the week indicating that there are no seasonal patterns. Also, Gregoriou et al. (2004), conclude that once transaction costs are considered there is no day-of-the-week effect on the UK stock market.

⁴ Also, statistically significant positive returns were found on Monday by Bhattacharya et al. (2003) for India (on the weeks cash reserves are not reported to the central bank), and on the first day of the trading week for Kuwait (it is a Saturday) by Al-Loughani and Chappell (2001).

⁵ Similar results are reported for the sub-period 1985 to 1987. During the sub-period 1988 to 1994, the returns on Mondays turn negative, Tuesday negative returns diminish while the returns of the other days continue to be positive.

⁶ Results reported for the sub-period 1986 to 1990 show that Monday returns become significantly positive, while for the sub-period 1991 to 1996 Monday returns turn significantly negative. Three industry indices (bank, leasing and insurance) are also investigated. Results for the banking index are similar to those of the general index, results for the Insurance and leasing indices reveal a day-of-the-week effect only occasionally.

⁷ Some contrary evidence is provided by Philips-Patrick and Schneeweis (1988) for the US market.

⁸ The reason for separating the entire sample into pre- and post-1987 sub-samples is based on the fact that during 1988 extensive changes began with the adoption of legislation that aimed to deregulate and rationalize the Greek stock market. Other sub-periods were also examined offering results qualitatively similar.

⁹ This methodology has been used by many previous researchers.