Day-of-the-week effects: New Zealand bank bills, 1985-2000

Stephen Keef and Melvin Roush

Applied Financial Economics, 2004, vol. 14, issue 12, 859-873

Abstract: This study examines day-of-the-week effects in short term New Zealand bank bills with maturities of 30, 60 and 90 days. The analysis is based on a within-subject design. The spot interest rates within a week are treated as repeated measures on the same subject. These interest rates are transformed into orthogonal contrasts which can be analysed separately as dependent variables. Two analyses are conducted. The full data does not exhibit significant day-of-the-week effects. When the data is trimmed, to ameliorate the presence of fat tails, a Wednesday effect is observed for the three series. The ubiquitous weekend effect is observed for one series of interest rates. However, the reverse of the weekend effect is present for the two other series. The practical importance of the results is discussed.

Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/0960310042000265417 (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.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:14:y:2004:i:12:p:859-873

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/0960310042000265417

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().