Katerina Lyroudi, Ph.D., Natalja Strelkova, Student, and Justina Sakalgte, Student. Accounting and Finance, University of Macedonia, 156 Egnatia Street, Thessaloniki, 54006, Greece
This paper examines the day of the week anomaly for the Baltic region markets. According to the efficient markets hypothesis, [Fama et al. (1969)] the average daily returns should be the same for all the days of the week that a stock exchange operates. However, numerous studies for developed and developing economies have shown that this is not the case and that there appears an anomaly. The Baltic markets have not been examined thoroughly regarding this issue, as other markets have. Hence, we focus on this issue in the present study. There is also a brief literature review and a description of the Baltic markets characteristics. We apply regression analysis with dummy variables, whereby the dependent variable is the market return and the independent dummy variables are the five working days of the week. We expect our results to indicate that there is a day of the week anomaly in the Lithuanian stock market.