The day returns of WIG20 futures on the Warsaw Stock Exchange – the analysis of the day of the week effect
The day returns of WIG20 futures on the Warsaw Stock Exchange – the analysis of the day of the week effect

Summary/Abstract: The aim of the study was to investigate the day of the week effect on daily returns and volatility for the Warsaw Stock Exchange, based on the open-to-close and min-to-max returns, in comparison with close-to-open returns of WIG20 futures. The research provided evidence on day of the week effect pattern in futures returns and volatility on the Polish market. In the analysed period (January 2009 – July 2015), the highest daily returns were observed on Mondays, whereas the highest volatility of returns were observed on Thursdays and Mondays.

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