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- W92054443 abstract "In this article we provide the results of statistical investigation of the day-of-the-week effect in emerging stock markets. This effect means that significant differences of stock return is observed on the different days of the week (usually the first and the last trading days). The empirical analysis was made by using stock return data of Vilnius Stock Exchange, as of a case of emerging stock market. The majority of research works provide results of application of traditional methods of statistical analysis. In this work the anomaly is investigated by applying discriminant analysis technique, which indicated the day-of-the-week effect with better sensitivity. The research results revealed the best financial predictors, which could detect the day-of-the-week effect and help to implement profitable trading strategy. The evaluation of research outcomes proved better effectiveness of application of the discriminant analysis for achieving significant confirmation of influence of the day-of-the-week effect in more cases of stock return data, than by applying traditional statistical analysis methods." @default.
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- W92054443 title "Statistical investigation on the day-of-the-week effect in emerging stock markets" @default.
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