search query: @journal_id 56 / total: 1032
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| Author: | Puttonen, V. Martikainen, T. |
| Title: | Finnish day-of-the week effects |
| Journal: | Journal of Business Finance and Accounting
1996 : SEP, VOL.23:7, p. 1019-1032 |
| Index terms: | FINLAND SHARE PRICES FUTURES MARKETS |
| Language: | eng |
| Abstract: | This paper provides new empirical evidence on day-of-the week effects in Finnish financial markets. On the Finnish stock market, significant Monday effect is not observed but negative returns on Tuesdays and Wednesdays are evident. In stock index options and futures markets, however, significant negative returns on Mondays are observable, while the Tuesday and Wednesday effects are negligible. After first controlling for the derivatives' returns, the Tuesday and Wednesday effects disappear in stock markets. It is also evident that volume figures are dependent on the day of the week. It appears that thin trading and short selling restrictions may lead to aprice delay and consequently negative Tuesday returns in a small regulated stock market. |
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