INVESTIGATION OF THE WEEKEND EFFECT ON THE PRAGUE STOCK EXCHANGE
INVESTIGATION OF THE WEEKEND EFFECT ON THE PRAGUE STOCK EXCHANGE

Author(s): Oleg Deev, Martin Cupal, Dagmar Linnertová
Subject(s): Evaluation research, Financial Markets
Published by: Masarykova univerzita nakladatelství
Keywords: EMT; weekend effect; close to close; PSE;
Summary/Abstract: Since the 1980's numerous studies based on historical data have shown that stock returns depend on the day of the week. So called weekend effect suggests that stock returns on Mondays are often significantly lower than those of the immediately preceding Fridays. In this proceeding we will apply the analysis of the weekend effect on the Prague Stock Exchange.

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