Abstracts
Résumé
L’effet lundi est une anomalie dans laquelle les rentabilités boursières du lundi sont significativement plus faibles que celles des autres jours. Suite à la transition économique des pays d’Europe centrale et orientale, nous avons analysé ces 11 marchés d’actions, de 1993 à 2017 pour la plus longue série. Suivant une démarche économétrique exhaustive, nous avons étudié la rentabilité et la volatilité des indices phares de chaque pays. L’effet lundi est observé sur la plupart de ces marchés, mais se révèle inversé pour deux d’entre eux. Les investisseurs peuvent donc utiliser cette anomalie pour optimiser leur stratégie d’investissement internationale.
Mots-clés :
- effet lundi,
- Europe centrale et orientale,
- rentabilité,
- actions,
- stratégie d’investissement
Abstract
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.
Keywords:
- Monday effect,
- Central and Eastern Europe,
- profitability,
- equities,
- investment strategy
Resumen
El efecto del lunes es una anomalía en la que los rendimientos del mercado del lunes son significativamente más bajos que los de otros días. Tras la transición económica de los países de Europa Central y Oriental, analizamos estos 11 mercados de valores desde 1993 hasta 2017. Siguiendo un enfoque econométrico, estudiamos la rentabilidad y la volatilidad de los índices de cada país. El efecto del lunes se observa en la mayoría de estos mercados, pero resulta que se invierte en dos de ellos. Por lo tanto, los inversores pueden utilizar esta anomalía para optimizar su estrategia de inversión internacional.
Palabras clave:
- efecto lunes,
- Europa central y oriental,
- rentabilidad,
- renta variable,
- estrategia de inversión
Appendices
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