An investigation of the robustness of the day-of-the-week effect in Australia

Easton, Stephen; Faff, Robert W.

doi:10.1080/758523954

Cited by 37 publications

(18 citation statements)

References 26 publications

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“…The data employed in the study are closing prices from the Australian Stock Exchange ( The specification follows evidence by Jaffe and Westerfield (1985), Finn et al (1991), Easton and Faff (1994), Agrawal and Tandon (1994) and Davidson and Faff (1999) Two approaches are used to test these hypotheses. The first involves a descriptive analysis of the mean returns and tests of equality of means using parametric analysis.…”

Section: Research Methods and Datamentioning

confidence: 99%

National Exuberance: A Note on the Melbourne Cup Effect in Australian Stock Returns

Worthington

2007

J of App Econs and Policy

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This note examines the presence of a Melbourne Cup effect in Australian daily stock returns over the forty-five years from 3 January 1961 to 30 December 2005. First run in 1861, the Melbourne Cup is Australia's premier horse race and one of the world's leading handicaps. Parametric tests of differences in means and a regressionbased approach are used to test for the effect alongside a conventional day-of-the-week (Tuesday) and monthof-the year (November) effects. The results indicate that the mean Melbourne Cup Day return of 0.1916 is significantly higher than the mean return for other Tuesdays in November (-0.2345), Tuesdays in other months of the year (-0.0352), and Monday, Wednesday, Thursday, and Friday returns throughout the year (0.0516). This suggests the exuberance associated with Australia's unofficial national day is translated into irrationally positive market behaviour.

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Section: Research Methods and Datamentioning

confidence: 99%

National Exuberance: A Note on the Melbourne Cup Effect in Australian Stock Returns

Worthington

2007

J of App Econs and Policy

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“…However, the Monday effect is not consistent in all contexts. For instance, Jaffe and Westerfield, Finn et al (1991), Easton and Faff (1994), Agrawal and Tandon (1994) and Davidson and Faff (1999) find a significantly negative Tuesday effect in Australian stock returns, and Jaffe and Westerfield propose a linkage between Tuesdays in the Asia-Pacific and the (negative) Monday effect in the US.…”

mentioning

confidence: 95%

The decline of calendar seasonality in the Australian stock exchange, 1958–2005

Worthington

2008

Ann Finance

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“…For example, the use of OLS has been argued to be unsuitable in the presence of serial correlation. Despite these criticisms, there are studies that show that the conclusions drawn from robust estimation and OLS techniques are similar (see Easton and Faff, 1994;Alexakis and Xanthakis, 1995;Kamath et al, 1998).…”

Section: Literaturementioning

confidence: 90%

The day-of-the-week effect in conditional correlation

Chandra

2006

Rev Quant Finan Acc

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The day-of-the-week effect in the first and second moments of the return distribution is a well researched area. However, not many studies have attempted to identify this effect in the comovement or correlation of the markets. This paper models the day-of-the-week effect in the returns and the conditional correlation for some Asia-Pacific equity markets. The paper finds a Monday, Wednesday and Friday effects in the returns for some of the markets. The effect is totally absent in the returns for Australia, Japan and Korea. For the fifteen conditional correlation series estimated, a predominant Tuesday effect is detected for five series. Three series exhibit a Monday effect. A Thursday effect is detected between the Singapore market and the markets of Australia, Hong Kong and Thailand. The paper finds no consistent day-of-the-week effect in the returns and the correlations for this region. Copyright Springer Science + Business Media, LLC 2006Day-of-the-week effect, Conditional correlation, Asia-Pacific markets,

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An investigation of the robustness of the day-of-the-week effect in Australia

Cited by 37 publications

References 26 publications

National Exuberance: A Note on the Melbourne Cup Effect in Australian Stock Returns

National Exuberance: A Note on the Melbourne Cup Effect in Australian Stock Returns

The decline of calendar seasonality in the Australian stock exchange, 1958–2005

The day-of-the-week effect in conditional correlation

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