Abstract
The article presents the results of empirical research on the occurrence of the effect of the day on the Warsaw Stock Exchange. The analysis was carried out for the daily rates of return of selected stock exchange indices in the period 2010–2018. In addition, the effect of the day for well-diversified portfolios such as Rao’s Quadratic Entropy Portfolios and the Most Diversified Portfolios, was also analyzed. One of the goals of the research was to establish whether the determined effect of the day is reflected in the level of diversification of the constructed portfolios. On the basis of the conducted research, it was determined that the day effect on the WSE occurs only in specific (annual) periods. This dependence was determined both for the rates of return of stocks as well as for the rates of return of portfolios. The occurrence of the effect of the day for a group of indices does not always translate into similar regularities for rates of return of portfolios or for the level of diversification of investment portfolios.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Cai J, Li Y, Qi Y (2006) The day-of-the-week effect: new evidence from the chinese stock market. Chin Econ 29:71–88
Carmichael B, Boevi Koumon G, Moran K (2015) Unifying portfolio diversification measures using Rao’s quadratic entropy. CIRPEE working paper. Available via: https://www.cirano.qc.ca/files/publications/2015s-16.pdf. Accessed 30 June 2017
Chang E, Kim C (1988) Day-of-the-week effects and commodity price changes. J Futures Markets 8:229–241
Cheng P, Roulac SE (2007) Measuring the effectiveness of geographical diversification. J Real Estate Portfolio Manag 13:29–44
Chinko M, Avci E (2009) Examining the day of the week effect in Istanbul stock exchange. Int Bus Econ Res J 8:45–50
Choueifaty Y, Coignard Y (2008) Toward maximum diversification. J Portfolio Manag 35:40–51
Cross F (1973) The behavior of stock prices on fridays and mondays. Financ Anal J 29:67–69
French K (1980) Stock returns and the weekend effect. J Financ Econ 8:55–69
Gay G, Kim T (1987) An investigation into seasonality in the futures market. J Futures Market 7:169–181
Gluzicka A (2018) Wybrane metody dywersyfikacji portfeli inwestycyjnych. Wydawnictwo Uniwersytetu Ekonomicznego w Katowicach
Jaffe J, Westerfield R (1985) Patterns in Japanese common stock returns: day of the week and turn of the year effects. J Financ Quant Anal 6:261–272
Johnston R, Karacaw W, McConnel JJ (1991) Day-of-the-week effects in financial futures. J Financ Quant Anal 26:23–44
Kompa K, Witowska D (2007) Analiza własności stóp zwrotu akcji wybranych spółek. Rynek Kapitałowy. Skuteczne inwestowanie – Zeszyty Naukowe Uniwersytetu Szczecińskiego, vol 6, pp 255–266
Markowitz H (1952) Portfolio selection. J Finance 7(1):77–91
Rao RC (1982a) Diversity: its measurement, decomposition, apportionment and analysis. Ind J Stat 44:1–22
Rao RC (1982b) Diversity and dissimilarity coefficients: a unified approach. Theor Popul Biol 21:24–43
Rossi M (2015) The efficient market hypothesis and calendar anomalies: a literature review. Int J Manag Financ Acc 7:285–296
Smirlock M, Starks L (1986) Day-of-the-week and intraday effects in stock returns. J Financ Econ 9:197–210
Szyszka A (1999) Efektywność rynku a anomalie w rozkładach stop zwrotu w czasie. Nasz Rynek Kapitałowy 12
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2020 Springer Nature Switzerland AG
About this paper
Cite this paper
Gluzicka, A. (2020). The Effect of the Day and the Risk Diversification on the WSE. In: Jajuga, K., Locarek-Junge, H., Orlowski, L., Staehr, K. (eds) Contemporary Trends and Challenges in Finance. Springer Proceedings in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-43078-8_2
Download citation
DOI: https://doi.org/10.1007/978-3-030-43078-8_2
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-030-43077-1
Online ISBN: 978-3-030-43078-8
eBook Packages: Economics and FinanceEconomics and Finance (R0)