Another form of the "day of the week" effect: Evidence from the Athens Stock Exchange

Published in: Επιθεώρηση Οικονομικών Επιστημών
Main Author: Σιλιγάρδος, Γιώργος Ε.
Format: Article
Language: English
Published: ΤΕΙ Ηπείρου. Σχολή Διοίκησης και Οικονομίας 2008
Subjects:
Online Access: http://cris.teiep.gr/jspui/handle/123456789/1217
Physical Description: σελ. 91-100
ISSN: 1109-2629
Abstract: We study the proportions of advancing, declining and remaining unchanged issues in the Greek Stock Market for a period of 10 years and we show that there is weak form of "Day of The Week" effect for these proportions. In the sequence, we use methods and tools from Information Theory to gauge the power of this effect to the projection of the proportions.