Η επίδραση της ημέρας της εβδομάδας στις αποδόσεις των μετοχών

Τσαντσαράκη, Ιωάννα Θ.

Master Thesis

Author

Τσαντσαράκη, Ιωάννα Θ.

Date

2014-06-19

Abstract

This thesis elaborated the main purpose of the empirical investigation of the existence of the phenomenon of day of the week in 10 exchanges and a leading indicator of U.S.A. stock market (NASDAQ). Based on the theory of efficient markets, stock returns should not exhibit a model, which ependytes can exploit for profit. In contrast to this theory, there are some results, a series of results which support the fact, that the markets can not be always effective. In the first chapters, is a bibliographic review on the concepts of equity and portfolio theory and the efficient market, apparently contrasting with the company and their limitations? And before entering the empirical part thoroughly analyzed the phenomenon of day and week. Then, the empirical analysis will take place in the indices of a part of the European Exchange for the period 2003-2013. The data are daily, and we are interested in examining the phenomenon day by day. In our sample included over some European indices Exchange and a leading indicator of U.S.A. stock market (NASDAQ). That included a U.S.A. stock market index in our sample because the phenomenon under study launched by the U.S.A. stock market Then we do all the necessary tests to see if it is valid or not this phenomenon.