The day-of-the-week effect revisited: An alternative testing approach
The day-of-the-week effect revisited: An alternative testing approach
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.
multiple comparisons, multiple level a test, multiple hypotheses testing, Statistischer Test, ddc:330, G14, closed test procedures, Day-of-the-week effect, Multiple hypotheses testing, Multiple comparisons, Closed test procedures, Multiple level a test, Großbritannien, Börsenkurs, Kalendereffekt, Kapitalertrag, day-of-the-week effect, C20, Aktienindex, Deutschland, USA, C12, Schätzung, jel: jel:C20, jel: jel:C12, jel: jel:G14
multiple comparisons, multiple level a test, multiple hypotheses testing, Statistischer Test, ddc:330, G14, closed test procedures, Day-of-the-week effect, Multiple hypotheses testing, Multiple comparisons, Closed test procedures, Multiple level a test, Großbritannien, Börsenkurs, Kalendereffekt, Kapitalertrag, day-of-the-week effect, C20, Aktienindex, Deutschland, USA, C12, Schätzung, jel: jel:C20, jel: jel:C12, jel: jel:G14
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).0 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Average influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Average impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average
Citations provided by BIP!Popularity provided by BIP!