Testing for weekday anomaly in international stock index returns with non-normal errors

Mikael Linden and Mika Louhelainen

Applied Financial Economics Letters, 2006, vol. 2, issue 3, pages 193-197

Abstract: Minimum Absolute Deviation (MAD) estimation method is used to examine weekday anomaly in 18 international stock exchanges between 1990 and 2003. Weekday return anomaly is found with OLS method in two and with MAD method in eight stock exchanges. Empirical test distributions of F -type test for OLS and MAD estimators with Laplace errors were derived with simulations.

View list of references

Downloads: (external link)
http://taylorandfran ... &id=P3L46753217463PG (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Ordering information: This journal article can be ordered from
http://www.tandf.co. ... /titles/17446546.asp

Access Statistics for this article

Applied Financial Economics Letters is edited by Mark Taylor

More articles in Applied Financial Economics Letters from Taylor and Francis Journals
Series data maintained by Christopher F. Baum ().