Το φαινόμενο της εβδομάδας σε 15 ευρωπαϊκά χρηματιστήρια
Week effect on 15 european stock markets
KeywordsΦαινόμενο της εβδομάδας ; Φαινόμενο της Δευτέρας ; Απόδοση ημέρας ; Νότια Ευρώπη ; Βόρεια Ευρώπη ; Σαββατοκύριακο ; Week effect ; South Europe ; North Europe ; Daily return ; Weekend
Τhe main goal of this dissertation is to examine whether or not the so-called «Week Effect» phenomenon exists in the European stock markets. Therefore, fifteen European countries are examined, of which five of them belong in South Europe, five in the Northof Europeand another five more, being important financial centres during the period of November 2004 -October 2018. The total period is divided in three equal sub-periods with a duration of five years each, in order to investigate the results before crisis, during the period of crisis,as well as the recovery period for the majority of the European markets examined. Former empirical studies, indicate the existence of the phenomenon mainly in the stock market of USA. In contrast, most surveys that have examined the European area in recent years, have not confirmedthis phenomenon. This dissertation used data based on daily performance indicators, while the methodology applied for testing the data was multiple regression analysis. The results showed that the phenomenon appears mainly in southern Europe and thus, its existence cannot be confirmed on the basis of fundamental theory. In conclusion, we found out that although the existence of the phenomenon cannot be confirmedas a whole, the characteristics and the way of its emergence were modified in comparison with previous literature and it is likely to be further modifiedin the future, yet the phenomenon per se will never be eliminated.