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Another Look at the Tuesday Effect in Australia

Author

Listed:
  • Chien-Ting Lin

    (International Graduate School of Management, Division of Business and Enterprise, University of South Australia, City West Campus, Adelaide SA 5000, Australia)

  • Lee-Kian Lim

    (School of Accounting, Finance and Economics, Faculty of Business and Public Management, Edith Cowan University, 100 Joondalup Drive, Joondalup WA 6027, USA)

Abstract

Weekend effects have been well known in many financial markets. Australia however displays its effect on Tuesdays rather than on Mondays. In this study, we investigate on the possible linkage between the US Monday and Australian Tuesday returns. We document that the Tuesday effect in Australia is one-way Granger caused by the weekend effect in the US conditional on the weekend effects in the UK and Japanese markets. Furthermore, in the post-1987 period where the US Monday returns are positively significant, the Australian Tuesday return also turns out to be positive. This latter finding provides further evidence that the anomaly in Australia is induced by the weekend effect in the US.

Suggested Citation

  • Chien-Ting Lin & Lee-Kian Lim, 2004. "Another Look at the Tuesday Effect in Australia," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 77-89.
    • Handle: RePEc:wsi:rpbfmp:v:07:y:2004:i:01:n:s0219091504000032
    DOI: 10.1142/S0219091504000032
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    More about this item

    Keywords

    Weekend effect; Granger causality; Australian Tuesday returns; US Monday returns; JEL Classification No. G12; JEL Classification No. G14; JEL Classification No. G15;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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