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

Sinclair Davidson and Robert Faff

Applied Economics Letters, 1999, vol. 6, issue 4, 247-249

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.

Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:6:y:1999:i:4:p:247-249

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DOI: 10.1080/135048599353447

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