Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange

Sabina Nowak, Joanna Olbryś



The purpose of this study is to explore the day-of-the-week patterns in liquidity on the Warsaw Stock Exchange (WSE) using daily turnover as a liquidity measure. The existence of an inverted U-shape in the stock turnover across the trading days is examined. The research sample covers 2502 daily observations in the period January 2005 – December 2014. 53 WSE-listed companies divided into three size groups are investigated. In the study the OLS method with the HAC covariance matrix estimation and the GARCH-type models are employed. The results indicate that liquidity on the WSE tends to be significantly lower on Mondays and higher on Wednesdays in comparison with the other days of the week. However, the inverted U-shape in daily turnover occurs only among the companies with the largest market capitalization.


market microstructure; day-of-the-week effect; liquidity; turnover; HAC; GARCH; Warsaw Stock Exchange

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ISSN (print) 1234-3862
ISSN (online) 2450-7067

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