Abstract:

The day effect of the week is the most studied anomaly in the world capital markets. In many studies, this effect has been studied on the basis of stock exchanges. The aim of this study is to examine whether there is a difference between the day effect of the week seen in the IMC-100 index returns and the day effect of the week seen in the returns of portfolios created taking into account the "beta" of the stock. The literature on the subject has been summarized and an empirical study has been carried out. In the empirical section of the study, the day-effect of the week was sought in the returns calculated using the daily closing values of the IMC-100 Index for the period 01.01.2005-31.12.2007. In the subsequent phase, the IMCB national market has been continuously traded since 01.01.2000. The daily closing values for the period 2000-31.12.2004 are calculated using the data of capital increase and subsequent distribution; the daily, weekly and monthly returns are calculated. The relevant data is collected from the daily newsletters published on the IMKB’s website. In accordance with the market model, the beta rates are calculated for each share in the "day", "weekly" and "monthly" return intervals. The beta ratio is estimated to be a "portfolio of small beta-rate companies" and a "portfolio of big beta-rate companies" and the daily impact of the week in the returns of these portfolios from the period 01.01.2005 to 31.12.2007. After all, for the period referred to with the proof of the existence of the day-effect of the week in portfolio returns, there was no significant difference between the returns obtained in the days of the week.