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The day-of-the-week effect is weak: Evidence from the European Real Estate Sector

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  • Georgios Bampinas

    (Department of Economics, University of Macedonia)

  • Stilianos Fountas

    (Department of Economics, University of Macedonia)

  • Theodore Panagiotidis

    (Department of Economics, University of Macedonia)

Abstract

The day-of-the-week effect for the securitized real estate indices is investigated by employing daily data at the global, European and country level for the period 1990 to 2010. We test for daily seasonality in 12 countries using both full sample and rolling regression techniques. While the evidence for the former is in line with the literature, the results for the latter cast severe doubts concerning the existence of any persistent day-of-the-week effects. Once we allow our sample to vary over time, the average proportion of significant coeffcients per day ranges between 15% and 24%. We show that higher average Friday returns evident in previous literature, remain significant in 21% of the rolling samples. We conclude that daily seasonality in the European Real Estate sector is subject to the data mining and sample selection bias criticism.

Suggested Citation

  • Georgios Bampinas & Stilianos Fountas & Theodore Panagiotidis, 2015. "The day-of-the-week effect is weak: Evidence from the European Real Estate Sector," Discussion Paper Series 2015_02, Department of Economics, University of Macedonia, revised May 2015.
    • Handle: RePEc:mcd:mcddps:2015_02
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    2. Baochen Yang & Yifang Liu & Yunpeng Su, 2023. "Earnings communication conferences and post‐earnings‐announcement drift: Evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(2), pages 2145-2185, June.
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    7. Mohamed CHIKHI & Ali BENDOB & Ahmed Ramzi SIAGH, 2019. "Day-of-the-week and month-of-the-year effects on French Small-Cap Volatility: the role of asymmetry and long memory," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 10, pages 221-248, December.
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    Keywords

    day-of-the-week effect; real estate indices; rolling regressions; GARCH; data mining.;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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