Article1989

An Examination of the Robustness of the Weekend Effect

438 citations0/0 files storedJournal of Financial and Quantitative Analysis

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

This paper analyzes the robustness of the day-of-the-week (DOW) and weekend effects to alternative estimation and testing procedures. The results show that sample size can distort the interpretation of classical test statistics unless the significance level is adjusted downward. Specification tests reveal widespread departures from OLS assumptions. Hypothesis tests results are reported using robust econometric methods and a GARCH model. The strength of the DOW and weekend effect evidence appears to depend on the estimation and testing method. Both effects seem to have disappeared by 1975.

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1965The Behavior of Stock-Market Prices 1997The variation of certain speculative prices 1986The theory and practice of econometrics 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1986Modelling the persistence of conditional variances 1980Stock returns and the weekend effect

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1994Hourly volatility spillovers between international equity markets 1994The Individual Investor and the Weekend Effect 1993International Evidence on the Robustness of the Day-of-the-Week Effect 1996The day-of-the-week effect: The international evidence 2013Religion, the Nature of Ultimate Owner, and Corporate Philanthropic Giving: Evidence from China 1990The italian stock market

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