Some additional Australian evidence on the day-of-the-week effect

Sinclair Davidson · Robert W. Faff

36 citations0/0 files storedApplied Economics Letters

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

Abstract

This paper re-investigates the day-of-the-week effect in Australia. This issue has been previously investigated using an Australian dataset over the period 1974–95 by Easton and Faff (Applied Financial Economics, 4, 1994). They find that the robust techniques suggested by Connolly (Journal of Financial and Quantitative Analysis, 24, 1989) do not alter results of standard OLS techniques. This paper shows that the day of the week effect has disappeared in recent years and that given an adjustment, for large sample size may not have been evident in the data over the period 1983–96.

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References

1981Day of the Week Effects and Asset Returns 1985The Week-End Effect in Common Stock Returns: The International Evidence 1989An Examination of the Robustness of the Weekend Effect 1994An investigation of the robustness of the day-of-the-week effect in Australia

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