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Article: International Evidence on the Robustness of the Day-of-the Week Effect

TitleInternational Evidence on the Robustness of the Day-of-the Week Effect
Authors
Issue Date1993
PublisherCambridge University Press. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=jfq
Citation
Journal of Financial and Quantitative Analysis, 1993, v. 28, n. 4, p. 497-513 How to Cite?
AbstractConsistent with Connolly's(1989), (1991)evidence, this study finds that sample size and/or error term adjustments render U.S. day-of-the-week effects statistically insignificant. In contrast, day-of-the-week effects in seven European countries and in Canada and Hong Kong are robust to individual sample size or error term adjustments, and day-of-the-week effects in five European countries survive the simultaneous imposition of both types of adjustments. In most countries where day-of-the-week effects are robust, however, the effects are statistically significant in not more than two weeks out of the month. These findings are inconsistent with explanations of the day-of-the-week effect based on institutional differences or on the arrival of new information. Thus, in the absence of other potential explanations already dismissed by Jaffe and Westerfield (1985), evidence in this study further complicates the international day-of-the-week effect puzzle.
Persistent Identifierhttp://hdl.handle.net/10722/206390
ISSN
2015 Impact Factor: 1.628
2015 SCImago Journal Rankings: 2.998
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorChang, ECen_US
dc.contributor.authorPinegar, MJen_US
dc.contributor.authorRavichandran, Ren_US
dc.date.accessioned2014-10-28T09:14:40Z-
dc.date.available2014-10-28T09:14:40Z-
dc.date.issued1993en_US
dc.identifier.citationJournal of Financial and Quantitative Analysis, 1993, v. 28, n. 4, p. 497-513en_US
dc.identifier.issn0022-1090en_US
dc.identifier.urihttp://hdl.handle.net/10722/206390-
dc.description.abstractConsistent with Connolly's(1989), (1991)evidence, this study finds that sample size and/or error term adjustments render U.S. day-of-the-week effects statistically insignificant. In contrast, day-of-the-week effects in seven European countries and in Canada and Hong Kong are robust to individual sample size or error term adjustments, and day-of-the-week effects in five European countries survive the simultaneous imposition of both types of adjustments. In most countries where day-of-the-week effects are robust, however, the effects are statistically significant in not more than two weeks out of the month. These findings are inconsistent with explanations of the day-of-the-week effect based on institutional differences or on the arrival of new information. Thus, in the absence of other potential explanations already dismissed by Jaffe and Westerfield (1985), evidence in this study further complicates the international day-of-the-week effect puzzle.-
dc.languageengen_US
dc.publisherCambridge University Press. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=jfqen_US
dc.relation.ispartofJournal of Financial and Quantitative Analysisen_US
dc.titleInternational Evidence on the Robustness of the Day-of-the Week Effecten_US
dc.typeArticleen_US
dc.identifier.emailChang, EC:ecchang@hku.hken_US
dc.identifier.authorityChang, EC=rp01050en_US
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.2307/2331162-
dc.identifier.volume28en_US
dc.identifier.issue4en_US
dc.identifier.spage497en_US
dc.identifier.epage513en_US
dc.identifier.isiWOS:A1993MR03900004-

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