The impact of daily trade volume on the day-of-the-week effect in emerging stock markets
In this article we examine the impact of daily trade turnover on the day-of-the-week effect in emerging stock markets. The empirical analysis was made by using Vilnius Stock OMX equities return data. The main method suggested for analysis was based on formation of three portfolios with equities having low, medium and high daily turnover. By applying traditional statistical research methods, such as t-test, one-way ANOVA, Levene and Brown-Forsythe test of homogeneity of variances the statistically significant difference among Monday and the other week days was observed only for some equities with medium trading volume. Analyzing influence of higher moments to mean return distribution (Kolmogorov-Smirnov test) we concluded, that day-of-the-week effect had influence on stocks with medium turnover. We have also applied Kolmogorov-Smirnov test for different days of the week to investigate the effect to daily turnover of shares. By applying test to all possible pairs of the days, it was defined that volumes of RSU, LDJ, KJK, PZV shares had significant difference for some days of the week.
trade volume day-of-the-week effect return anova kolmogorov-smirnov test statistical methods t-test