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

Sinclair Davidson; Robert Faff

doi:10.1080/135048599353447

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

Sinclair Davidson^*, Robert Faff

^*Corresponding author for this work

Research output: Contribution to journal › Article › Research › peer-review

21 Citations (Scopus)

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.

Original language	English
Pages (from-to)	247-249
Number of pages	3
Journal	Applied Economics Letters
Volume	6
Issue number	4
DOIs	https://doi.org/10.1080/135048599353447
Publication status	Published - 1999
Externally published	Yes

Access to Document

10.1080/135048599353447

Cite this

@article{044c4e3cf3944dbf93e712aa5ce60512,

title = "Some additional Australian evidence on the day-of-the-week effect",

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.",

author = "Sinclair Davidson and Robert Faff",

year = "1999",

doi = "10.1080/135048599353447",

language = "English",

volume = "6",

pages = "247--249",

journal = "Applied Economics Letters",

issn = "1350-4851",

publisher = "Routledge",

number = "4",

}

TY - JOUR

T1 - Some additional Australian evidence on the day-of-the-week effect

AU - Davidson, Sinclair

AU - Faff, Robert

PY - 1999

Y1 - 1999

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=0039776537&partnerID=8YFLogxK

U2 - 10.1080/135048599353447

DO - 10.1080/135048599353447

M3 - Article

AN - SCOPUS:0039776537

SN - 1350-4851

VL - 6

SP - 247

EP - 249

JO - Applied Economics Letters

JF - Applied Economics Letters

IS - 4

ER -

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

Abstract

Access to Document

Other files and links

Fingerprint

Cite this