Seasonality in the Romanian Stock Market: The-day-of-the-Week Effect

The day-of-the-week (DOW) effect is a well-known market anomaly and it has been tested both on developed markets and on emerging and frontier ones. The aim of this study is to determine if this anomaly is present on the Romanian stock market. We found the presence of a Friday effect on the market, when the returns are higher than in other week days. Further, we try to explain it by performing a secondary analysis in which we allow the market risk to vary across the days of the week. Through this test, we can observe if the market risk is a determinant factor of the daily returns. The results show a decrease of the positive Friday average returns, proof that the seasonality is caused by the global market risk and that it is not an anomaly of the Romanian market.