IDEAS home Printed from https://ideas.repec.org/a/bla/jfnres/v12y1989i1p51-55.html
   My bibliography  Save this article

On Stochastic Dominance Analysis Of Day‐Of‐The‐Week Return Patterns

Author

Listed:
  • John Wingender
  • James E. Groff

Abstract

Studies show that significant differences exist among return distributions of days of the week. While these results are ubiquitous, their validity depends on the robustness of statistical procedures used. Virtually every day‐of‐the‐week study has used mean/variance analysis despite it being well documented that daily return distributions are nonnormal. This study uses stochastic dominance analysis, which is not distribution dependent, to test for a day‐of‐the‐week effect. Results indicate that the day‐of‐the‐week effect is robust and that previous findings are not artifacts deriving from violations of distributional assumptions.

Suggested Citation

  • John Wingender & James E. Groff, 1989. "On Stochastic Dominance Analysis Of Day‐Of‐The‐Week Return Patterns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(1), pages 51-55, March.
    • Handle: RePEc:bla:jfnres:v:12:y:1989:i:1:p:51-55
    DOI: 10.1111/j.1475-6803.1989.tb00100.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1475-6803.1989.tb00100.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1475-6803.1989.tb00100.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Al-Khazali, Osamah & Mirzaei, Ali, 2017. "Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 190-208.
    2. Lean, Hooi Hooi & Smyth, Russell & Wong, Wing-Keung, 2007. "Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 125-141, April.
    3. H. Kent Baker & Abdul Rahman & Samir Saadi, 2008. "The day‐of‐the‐week effect and conditional volatility: Sensitivity of error distributional assumptions," Review of Financial Economics, John Wiley & Sons, vol. 17(4), pages 280-295, December.
    4. J. Clay Singleton & John R. Wingender, 1994. "The Nonparallel Weekend Effect In The Stock And Bond Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(4), pages 531-538, December.
    5. Al-Khazali, Osamah M. & Koumanakos, Evangelos P. & Pyun, Chong Soo, 2008. "Calendar anomaly in the Greek stock market: Stochastic dominance analysis," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 461-474, June.
    6. Al-Khazali, Osamah, 2014. "Revisiting fast profit investor sentiment and stock returns during Ramadan," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 158-170.
    7. Lean, Hooi-Hooi & Wong, Wing-Keung & Zhang, Xibin, 2008. "The sizes and powers of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(1), pages 30-48.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfnres:v:12:y:1989:i:1:p:51-55. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/sfaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.