Another Look at the Tuesday Effect in Australia

Chien-Ting Lin () and Lee-Kian Lim ()
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Chien-Ting Lin: International Graduate School of Management, Division of Business and Enterprise, University of South Australia, City West Campus, Adelaide SA 5000, Australia
Lee-Kian Lim: School of Accounting, Finance and Economics, Faculty of Business and Public Management, Edith Cowan University, 100 Joondalup Drive, Joondalup WA 6027, USA

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2004, vol. 07, issue 01, 77-89

Abstract: Weekend effects have been well known in many financial markets. Australia however displays its effect on Tuesdays rather than on Mondays. In this study, we investigate on the possible linkage between the US Monday and Australian Tuesday returns. We document that the Tuesday effect in Australia is one-way Granger caused by the weekend effect in the US conditional on the weekend effects in the UK and Japanese markets. Furthermore, in the post-1987 period where the US Monday returns are positively significant, the Australian Tuesday return also turns out to be positive. This latter finding provides further evidence that the anomaly in Australia is induced by the weekend effect in the US.

Keywords: Weekend effect; Granger causality; Australian Tuesday returns; US Monday returns; JEL Classification No. G12; JEL Classification No. G14; JEL Classification No. G15 (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1142/S0219091504000032

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