Some additional Australian evidence on the day-of-the-week effect
This paper re-investigates the day-of-the-week effect in Australia. This issue has been previously investigated using an Australian dataset over the period 1974-95 by Easton and Faff (Applied Financial Economics, 4, 1994). They find that the robust techniques suggested by Connolly (Journal of Financial and Quantitative Analysis, 24, 1989) do not alter results of standard OLS techniques. This paper shows that the day of the week effect has disappeared in recent years and that given an adjustment, for large sample size may not have been evident in the data over the period 1983-96.
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.
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.
Volume (Year): 6 (1999)
Issue (Month): 4 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEL20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEL20|