The Monday effect revisited: An alternative testing approach
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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 819-835, July.
- Chow, K. Victor & Denning, Karen C., 1993.
"A simple multiple variance ratio test,"
Journal of Econometrics,
Elsevier, vol. 58(3), pages 385-401, August.
- Tom Doan, "undated". "CHOWDENNING: RATS procedure to perform Chow-Denning multiple variance ratio test," Statistical Software Components RTS00035, Boston College Department of Economics.
- 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.
- 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.
- 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.
- 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.
- 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, April.
- 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.
- Peter Huber, 1997. "Stock market returns in thin markets: evidence from the Vienna Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, pages 493-498.
- Neusser, Klaus, 1991.
"Testing the long-run implications of the neoclassical growth model,"
Journal of Monetary Economics,
Elsevier, pages 3-37.
- Klaus NEUSSER, 1990. "Testing the Long-Run Implications of the Neoclassical Growth Model," Vienna Economics Papers vie9002, University of Vienna, Department of Economics.
- Madlener, Reinhard & Alt, Raimund, 1996. "Residential Energy Demand Analysis: An Empirical Application of the Closure Test Principle," Empirical Economics, Springer, pages 203-220.
- 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.
- French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
- Peter Hansen & Asger Lunde, 2003. "Testing the Significance of Calendar Effects," Working Papers 2003-03, Brown University, Department of Economics.
- Connolly, Robert A., 1991. "A posterior odds analysis of the weekend effect," Journal of Econometrics, Elsevier, vol. 49(1-2), pages 51-104.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kumar, Satish, 2016. "Revisiting calendar anomalies: Three decades of multicurrency evidence," Journal of Economics and Business, Elsevier, pages 16-32.
- Urquhart, Andrew & McGroarty, Frank, 2014. "Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 154-166.
- Hülya Cengiz & Ömer Bilen & Ali Hakan Büyüklü & Gülizar Damgacı, 2017. "Stock market anomalies: the day of the week effects, evidence from Borsa Istanbul," Journal of Global Entrepreneurship Research, Springer;UNESCO Chair in Entrepreneurship, vol. 7(1), pages 1-11, December.
- repec:blg:journl:v:12:y:2017:i:1:p:95-109 is not listed on IDEAS
- Sungro Lee, Chang Sik Kim, In-Moo Kim & Chang Sik Kim & In-Moo Kim, 2012. "Testing the Monday Effect using High-frequency Intraday Returns: A Spatial Dominance Approach," Korean Economic Review, Korean Economic Association, pages 69-90.
More about this item
KeywordsMonday effect Day-of-the-week effect Multiple hypotheses testing Multiple comparisons Closed test procedures Multiple level [alpha] test;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. 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: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jempfin .