Nordic stock markets and the weekend effect
No Thumbnail Available
Files
bachelor_Weckström_Topi_2023.pdf (1.03 MB) (opens in new window)
Aalto login required (access for Aalto Staff only).
URL
Journal Title
Journal ISSN
Volume Title
School of Business |
Bachelor's thesis
Electronic archive copy is available locally at the Harald Herlin Learning Centre. The staff of Aalto University has access to the electronic bachelor's theses by logging into Aaltodoc with their personal Aalto user ID. Read more about the availability of the bachelor's theses.
Unless otherwise stated, all rights belong to the author. You may download, display and print this publication for Your own personal use. Commercial use is prohibited.
Authors
Date
2023
Department
Major/Subject
Mcode
Degree programme
Rahoitus
Language
en
Pages
25
Series
Abstract
Previous literature shows that on some markets average daily stock returns on Mondays have been lower than on other days. This thesis investigates the distribution of Nordic stock returns by the day of the week from 2004 to 2022. Objective of this study is to answer the question, is there a weekend effect, so are returns on Mondays lower than return on other days of the week. In addition, I examine possible effects on other days of the week. I use T-tests and regression analysis as methodology for testing the hypothesis that expected return is the same on each day of the week. Analysing daily return data of four stock indices from different Nordic countries, I find no evidence of neither the weekend effect nor other day of the week effects existing in the Nordic stock markets.Description
Thesis advisor
Vihriälä, ErkkiKeywords
stock market, anomaly, weekday effect, market efficiency