Testing for weekday anomaly in international stock index returns with non-normal errors
AbstractMinimum Absolute Deviation (MAD) estimation method is used to examine weekday anomaly in 18 international stock exchanges between 1990 and 2003. Weekday return anomaly is found with OLS method in two and with MAD method in eight stock exchanges. Empirical test distributions of F -type test for OLS and MAD estimators with Laplace errors were derived with simulations.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 2 (2006)
Issue (Month): 3 (May)
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Web page: http://www.tandfonline.com/RAFL20
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