The Day-of-the-Week Effect Revisited: An Alternative Testing Approach

Raimund Alt, Ines Fortin and Simon Weinberger
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Raimund Alt: Department of Economics and Finance, Institute for Advanced Studies, Vienna
Ines Fortin: Department of Economics and Finance, Institute for Advanced Studies, Vienna

No 127, Economics Series from Institute for Advanced Studies

Abstract: This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in Biometrics and Medical Statistics. We test all pairwise comparisons of daily expected stock returns, while the probability of committing any type I error is always kept smaller than or equal to some prespecified level a for each combination of true null hypotheses. We confirm day-of-theweek effects for the S&P 500, the FTSE 30 and the DAX 30 found in earlier studies, but find no evidence for the 1990's.

Keywords: Day-of-the-week effect; Multiple hypotheses testing; Multiple comparisons; Closed test procedures; Multiple level a test (search for similar items in EconPapers)
JEL-codes: C12 C20 G14 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2002-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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https://irihs.ihs.ac.at/id/eprint/1464 First version, 2002 (application/pdf)

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