Publication details

Investigation of the Weekend Effect on the Prague Stock Exchange



Year of publication 2012
Type Article in Proceedings
Conference European Financial Systems 2012
MU Faculty or unit

Faculty of Economics and Administration

Field Economy
Keywords EMT; weekend effect; close to close; PSE
Description 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. We argue that the stock return on PSE (represented with PX Index), measured as closing to closing prices, should depend on the day of the week. In general, we assumed that the returns on Mondays should be lower and the returns on Fridays should be higher and also Monday return is significantly lower than the nonMonday return.

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