An Analysis Of The Day-Of-The-Week Effect In The Russian Stock Market

Abstract

In this paper, we evaluate the weak form efficiency of the Russian Stock market using the Russian trading System Index for the period when the market opened in 1995 to August 2003 by testing for a day-of-the-week effect using ARCH/GARCH analysis.  There does appear to have been a speculative bubble in the run-up to the market peak in late 1997 to early 1998 that burst when the government defaulted on debt.  However, based on the empirical results of this paper, it appears that the RTSI does have a day-of-the-week effect.  However, returns are lowest on Wednesday and highest on Friday and returns are positive on every day except Wednesday.  Thus, we posit a three day “weekend” effect from Thursday to Monday.