Monday's Effect on Central and Eastern European Markets: An Element to Be Integrated into an International Investment Strategy?
The Monday effect is an anomaly in which Monday's market returns are significantly lower than those of other days. Following the economic transition of the countries of Central and Eastern Europe, we analyzed these 11 equity markets from 1993 to 2017 for the longest series. Following an exhaustive econometric approach, we studied the profitability and the volatility of the flagship indices of each country. The Monday effect is observed in most of these markets, but turns out to be reversed for two of them. Investors can therefore use this anomaly to optimize their international investment strategy.