IDEAS home Printed from
MyIDEAS: Login to save this article or follow this journal

The Monday effect revisited: An alternative testing approach

  • Alt, Raimund
  • Fortin, Ines
  • Weinberger, Simon
Registered author(s):

    This paper questions traditional approaches for testing the Monday effect of stock returns. We propose an alternative, multiple hypothesis testing approach based on the closure test principle which controls the multiple type I error. We consider the US, the UK and the German stock markets and test Monday related pairwise comparisons of daily expected stock returns, while the probability of committing any type I error is always kept smaller than a prespecified level [alpha], for each combination of true null hypotheses. Overall, the new testing approach supports previous findings of a Monday effect for the 1970s and 1980s, in particular for the US and Germany, while it suggests that the Monday effect has vanished in the 1990s and 2000s in all three markets. The comparison of the closure test procedure, the traditional multiple t-test and the Bonferroni test, a classical multiple test procedure, shows that traditional testing may result in spurious significance while the Bonferroni test may sometimes be too conservative.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Elsevier in its journal Journal of Empirical Finance.

    Volume (Year): 18 (2011)
    Issue (Month): 3 (June)
    Pages: 447-460

    in new window

    Handle: RePEc:eee:empfin:v:18:y:2011:i:3:p:447-460
    Contact details of provider: Web page:

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as in new window
    1. Greenstone, Michael & Oyer, Paul, 2000. " Are There Sectoral Anomalies Too? The Pitfalls of Unreported Multiple Hypothesis Testing and a Simple Solution," Review of Quantitative Finance and Accounting, Springer, vol. 15(1), pages 37-55, July.
    2. Chang, Eric C. & Pinegar, J. Michael & Ravichandran, R., 1993. "International Evidence on the Robustness of the Day-of-the-Week Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(04), pages 497-513, December.
    3. Madlener, Reinhard & Alt, Raimund, 1996. "Residential Energy Demand Analysis: An Empirical Application of the Closure Test Principle," Empirical Economics, Springer, vol. 21(2), pages 203-20.
    4. Savin, N.E., 1984. "Multiple hypothesis testing," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 14, pages 827-879 Elsevier.
    5. Chow, K. Victor & Denning, Karen C., 1993. "A simple multiple variance ratio test," Journal of Econometrics, Elsevier, vol. 58(3), pages 385-401, August.
    6. Connolly, Robert A., 1991. "A posterior odds analysis of the weekend effect," Journal of Econometrics, Elsevier, vol. 49(1-2), pages 51-104.
    7. Klaus NEUSSER, 1990. "Testing the Long-Run Implications of the Neoclassical Growth Model," Vienna Economics Papers vie9002, University of Vienna, Department of Economics.
    8. Dubois, M. & Louvet, P., 1996. "The day-of-the-week effect: The international evidence," Journal of Banking & Finance, Elsevier, vol. 20(9), pages 1463-1484, November.
    9. Foster, F Douglas & Viswanathan, S, 1990. "A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 593-624.
    10. Honghui Chen & Vijay Singal, 2003. "Role of Speculative Short Sales in Price Formation: The Case of the Weekend Effect," Journal of Finance, American Finance Association, vol. 58(2), pages 685-706, 04.
    11. Peter Huber, 1997. "Stock market returns in thin markets: evidence from the Vienna Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 493-498.
    12. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    13. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Testing the significance of calendar effects," FRB Atlanta Working Paper 2005-02, Federal Reserve Bank of Atlanta.
    14. Keim, Donald B & Stambaugh, Robert F, 1984. " A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 819-35, July.
    15. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001. "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 249-286, November.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:eee:empfin:v:18:y:2011:i:3:p:447-460. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)

    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.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.