The Occurrence of the Day-of-the-Week Effects on Polish and Major World Stock Markets

Open access


The aim of this paper is to analyze the occurrence of the so called day of the week effects in market return time series from the period of January 2003 to September 2013 (and additionally January 1999 to December 2002). The study focuses on four indices of the Warsaw Stock Exchange (WIG, WIG20, mWIG40 and sWIG80) and additionally five indices of major world stock exchanges (NIKKEI 225, DAX, CAC40, S&P 500, and IBEX). The main data sample was divided into three subperiods in order to determine whether or not the intensity of day of the week anomalies is constant in time. The study revealed a substantial number of the day of the week anomalies in earliest subperiods and very limited evidence of those effects in later ones, giving rise to the conclusion that the intensity of the day of the week anomalies is diminishing with time. The most common effect identified on the WSE was a positive Friday effect. The Monday effect often described in early literature on the subject matter seems to currently occur very rarely. The study also indicates that the day of the week effects were more persistent among stocks with smaller market capitalization on the WSE.

If the inline PDF is not rendering correctly, you can download the PDF file here.

  • Ariel R. A. (1987). A Monthly Effect in Stock Returns. Journal of Financial Economics 18 161–174.

  • Banz R. W. (1981). The Relationship Between Return and Market Value of Common Stocks. Journal of Financial Economics 9 3–18.

  • Basher S.A & Sadorsky P. (2006). Day-of-the-week effects in emerging stock markets. Applied Economics Letters 13 621–628.

  • Cross F. (1973). The Behavior of Stock Process on Fridays and Mondays. Financial Analysts Journal 29 67–69.

  • Fama E. F. (1991). Efficient Capital Markets: II. Journal of Finance 46(5) 1575–1617.

  • French K. R. (1980). Stock Returns and the Weekend Effect. Journal of Financial Economics 8 March 55–69.

  • Gajdošová K. Heryán T. & Tufan E. (2011). Day of the week effect in the European emerging stock markets: recent evidence from the financial crisis period. Scientific Papers of the University of Pardubice Series D 15(19) 38–51.

  • Gibbons M. R. & Hess P. (1981). Day of the Week Effects and Asset Returns. Journal of Business 54 3–27.

  • Grotowski M. (2003). Momentum (1). Nasz Rynek Kapitalowy 2(146) 133–34.

  • Grotowski M. (2008). Efekty kalendarzowe na Gieldzie Papierow Wartosciowych w Warszawie. Gospodarka Narodowa 1–2 57–75.

  • Jamróz P. (2011). Metody analizy a efektywność polskiego rynku akcji PhD thesis Faculty of Economics and Management University of Bialystok Bialystok.

  • Kamaly A. & Tooma E. A. (2009) Calendar anomolies and stock market volatility in selected Arab stock exchanges Applied Financial Economics 19(11) pp. 881–892.

  • Keim D. (1983). Size-related Anomalies and Stock Return Seasonality. Journal of Financial Economics 12 13–32.

  • Kenourgios D. & Samitas A. (2008). The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange. International Research Journal of Finance and Economics 15 70–81.

  • Kiymaz H. & Berument H. (2003). The Day of the Week Effect on Stock Market Volatility and Volume: International Evidence. Review of Financial Economics 12(4) 363–380.

  • Kourkoumelis N. & Hourvouliades N. (2010). New Evidence for the Day-of-the-Week Effect in the Financial Crisis. Available at SSRN 1553667. Retrieved from:

  • Lakonishok J. & Smidt S. (1988). Are Seasonal Anomalies Real?: A Ninety Year Perspective. Review of Financial Studies 1 435–455.

  • Lakonishok J. & Maberly E. (1990). The Weekend Effect: Trading Patterns of Individual and Institutional Investors. The Journal of Finance 45 231–243.

  • Landmesser J. (2006). Efekt dnia tygodnia na Giełdzie Papierów Wartościowych w Warszawie. Zeszyty Naukowe Ekonomika i Organizacja Gospodarki Żywnościowej 60 187–196.

  • Reinganum M. R. (1983). Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earnings Yields and Market Values. Journal of Financial Economics 12 89–104.

  • Rogalski R. J. (1984). New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods. Journal of Finance 39 1603–1614.

  • Roll R. (1983). Vas ist Das? The Turn-of-the-Year Effect and the Return Premia of Small Firms Journal of Portfolio Management 9 18–28.

  • Schwert W. G. (2002). Anomalies and Market Efficiency Simon S'chool of Business Working Paper No. FR 02–13. Retrieved from: jd=338080.

  • Siwek P. (2000). Efekt stycznia na rozwinifgtych rynkach kapitalowych i na Giełdzie Papierów Wartościowych w Warszawie. In W. Przybylska-Kapuścińska (ed.) Rynek finansowy. Wybrane zagadnienia (pp. 150–163). Poznań Wydawnictwo Akademii Ekonomicznej w Poznaniu.

  • Smirlock M. & Starks L. (1986). Day-of-the-Week and Intraday Effects in Stock Returns. Journal of Financial Economics 15 396–421.

  • Stavarek D. & Heryan T. (2012). Day of the week effect in central European stock markets. MPRA Paper No. 38431. Retrieved from:

  • Szyszka A. (1999). Efektywność rynku a anomalie w rozkladzie stóp zwrotu w czasie. Nasz Rynek Kapitałowy 12 55–58.

  • Szyszka A. (2003). Efektywność giełdy papierów wartościowych w Warszawie na tle rynków dojrzałych Poznań: Wydawnictwo Akademii Ekonomicznej w Poznaniu.

  • Tonchev D. & Kim T.-H. (2004). Calendar effects in Eastern European financial markets: evidence from the Czech Republic Slovakia and Slovenia. Applied Financial Economics 14 1035–1043.

  • Wong W. K. Agarwal A. & Wong N. T. (2006). The Disappearing Calendar Anomalies in the Singapore Stock Market. The Lahore Journal of Economics 11(2) 123–139.

  • Wos M. & Żarnowski J. (2000). Efekt kapitalizacji. Nasz Rynek Kapitałowy 3(111) 38–40.

Journal information
Impact Factor

Cite Score 2018: 0.29

SCImago Journal Rank (SJR) 2018: 0.138
Source Normalized Impact per Paper (SNIP) 2018: 0.358

All Time Past Year Past 30 Days
Abstract Views 0 0 0
Full Text Views 292 75 0
PDF Downloads 110 43 0