The Day-of-the-Week Effect Revisited: An Alternative Testing Approach

Alt, Raimund; Fortin, InesORCID: and Weinberger, Simon (November 2002) The Day-of-the-Week Effect Revisited: An Alternative Testing Approach. Former Series > Working Paper Series > IHS Economics Series 127


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Abstract: 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.;

Item Type: IHS Series
Keywords: 'Day-of-the-week effect' 'Multiple hypotheses testing' 'Multiple comparisons' 'Closed test procedures' 'Multiple level a test'
Classification Codes (e.g. JEL): C12, C20, G14
Date Deposited: 26 Sep 2014 10:37
Last Modified: 14 Jun 2024 10:46
ISBN: 1605-7996

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