Arbeitspapier
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Reihe Ökonomie / Economics Series ; No. 127
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: General
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
day-of-the-week effect
multiple hypotheses testing
multiple comparisons
closed test procedures
multiple level a test
Kapitalertrag
Börsenkurs
Kalendereffekt
Statistischer Test
Schätzung
Aktienindex
Deutschland
USA
Großbritannien
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Alt, Raimund
Fortin, Ines
Weinberger, Simon
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute for Advanced Studies (IHS)
- (wo)
-
Vienna
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Alt, Raimund
- Fortin, Ines
- Weinberger, Simon
- Institute for Advanced Studies (IHS)
Entstanden
- 2002
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