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An Examination of the Robustness of the Weekend Effect

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Author Info
Connolly, Robert A.
Abstract

This paper analyzes the robustness of the day-of-the-week (DOW) and weekend effects to alternative estimation and testing procedures. The results show that sample size can distort the interpretation of classical test statistics unless the significance level is adjusted downward. Specification tests reveal widespread departures from OLS assumptions. Hypothesis tests results are reported using robust econometric methods and a GARCH model. The strength of the DOW and weekend effect evidence appears to depend on the estimation and testing method. Both effects seem to have disappeared by 1975.

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Publisher Info
Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 24 (1989)
Issue (Month): 02 (June)
Pages: 133-169
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:jfinqa:v:24:y:1989:i:02:p:133-169_01

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  2. Brockett, P. L., & Chen, H. M. & J. R. Garven, . "Event Study Methodology: A New and Stochastically Flexible Approach," Working Papers 003, Risk and Insurance Archive.
  3. Barry Harrison & David Paton, 2004. "Do ‘Fat Tails’ Matter in GARCH Estimation? Stock Market Efficiency in Romania and the Czech Republic," Working Papers 2004/3, Nottingham Trent University, Nottingham Business School, Economics Division. [Downloadable!]
  4. Patrick L. Brockett & Hwei-Mei CHEN & James R. GARVEN, 1995. "Event Study Methodology: A New And Stochastically Flexible Approach," Risk and Insurance 9507001, EconWPA. [Downloadable!]
  5. J. Michael Pinegar, 2002. "Losing Sleep at the Market: Comment," American Economic Review, American Economic Association, vol. 92(4), pages 1251-1256, September. [Downloadable!]
  6. Steven Pilloff, 1999. "Does the Presence of Big Banks Influence Competition in Local Markets?," Journal of Financial Services Research, Springer, vol. 15(3), pages 159-177, May. [Downloadable!] (restricted)
  7. Miloslav Vošvrda & Filip Žikeš, 2004. "AN APPLICATION OF THE GARCH-t MODEL ON CENTRAL EUROPEAN STOCK RETURNS," Prague Economic Papers, University of Economics, Prague, vol. 2004(1), pages 26-39. [Downloadable!] (restricted)
  8. Du, Yan & Liu, Qianqiu & Rhee, S. Ghon, 2006. "An Anatomy of the Magnet Effect: Evidence from the Korea Stock Exchange High-Frequency Data," CEI Working Paper Series 2005-17, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
  9. Zainal Abidin, Shahida Nadia & Wan Mahmood, Wan Mansor, 2007. "Day-of-the-Week Effect on the Bursa (Bourse) Malaysia: Further Evidence from Robust Estimations," MPRA Paper 13326, University Library of Munich, Germany. [Downloadable!]
  10. Anthony Gu, 2004. "The Reversing Weekend Effect: Evidence from the U.S. Equity Markets," Review of Quantitative Finance and Accounting, Springer, vol. 22(1), pages 5-14, January. [Downloadable!] (restricted)
  11. Asli Bayar & Ozgur Berk Kan, 2002. "Day of the Week Effects : Recent Evidence from Nineteen Stock Markets," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 2(2), pages 77-90. [Downloadable!]
  12. Juan A. Lafuente & Manuel Illueca Muñoz, 2006. "New Evidence On Expiration-Day Effects Using Realized Volatility: An Intraday Analysis For The Spanish Stock Exchange," Working Papers. Serie EC 2006-05, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  13. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner, 1991. "Les modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annales d'Economie et de Statistique, ADRES, issue 24, pages 01, Octobre-D. [Downloadable!]
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