Day-of-the-Week effect in high moments

Financial Markets, Institutions and Instruments

Volumn 14, Issue 3, 2005, Pages 169-186

  Galai, Dan ^a   Kedar Levy, Haim ^b,c  

^a HEBREW UNIVERSITY OF JERUSALEM   (Israel)

^b BEN GURION UNIVERSITY OF THE NEGEV   (Israel)

^c TEMPLE UNIVERSITY   (United States)

Author keywords

Corporate Announcements; Day of the Week; High Moments

Indexed keywords

EID: 24944433485     PISSN: 09638008     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0963-8008.2005.00083.x     Document Type: Review

References (26)

1. Abraham, A. and D. Ikenberry. 1994. "The individual investor and the weekend effect." Journal of Financial and Quantitative Analysis 29:263-277.
2. Aggarwal, R. and J.D. Schatzberg. 1997. "Day of the Week Effects, Information Seasonality, and Higher Moments of Security Returns." Journal of Economics and Business 49:1-20.
3. Bachelier, L. 1900. Theorie de la Speculation. Paris: Gautheir-Villers.
4. Bessembinder, H. and M. Hertzel. 1993. "Return Autocorrelations Around Non-Trading Days." Review of Financial Studies 1:155-189.
5. Connolly, R.A. 1989. "An examination of the robustness of the weekend effect." Journal of Financial and Quantitative Analyses 24:2:133-171.
6. Crouhy M. and D. Galai. 1992. "The Settlement Day Effect in the French Bourse." Journal of Financial Services Research 3:3:417-439.
7. Damodaran, A. 1989. "The Weekend Effect in Information Releases: A Study of Earnings and Dividend Announcements." Review of Financial Studies 2:4:607-623.
8. French K.R. 1980. "Stock Returns and the Weekend Effect." Journal of Financial Economics 7:579-596.
9. French K.R. and R. Roll. 1986. "Stock Return Variances. The Arrival of information and the Reaction of Traders." Journal of Financial Economics 17:5-26.
10. Galai D. and H. Kedar-Levy. 1996. "Differences in the Distribution of the Daily Yield of Securities." Bank of Israel Economic Review 69:71-87.
11. Gibbons M.R. and P. Hess. 1981. "Day of the Week Effects and Asset Returns." Journal of Business 54:4:579-596.
12. Hochberg Y. 1988. "A Sharper Bonferroni Procedure for Multiple Tests of Significance." Biometrica 75:4:800-802.
13. Hommel G. 1988. "A Stagewise Rejective Multiple Test Procedure Based on a Modified Bonferroni Test." Biometrica 75:2:383-386.
14. Jaffe J. and R. Westerfield. 1985. "The Weekend Returns in Common Stock Prices: The International Evidence." Journal of Finance 40:433-454.
15. Jaffe, J.F., R. Westerfield and C. Ma. 1989. "A twist on the Monday effect in stock prices: evidence from the U.S. and foreign stock markets." Journal of Banking and Finance 13:641-650.
16. Keim, D.B. 1989. "Trading Patterns, Bid-Ask Spreads, and Estimated Security Returns. The Case of Common Stocks at Calendar Turning Points." Journal of Financial Economics 25:75-97.
17. Lakonishok, J. and E. Maberly. 1990. "The weekend effect: trading patterns of individual and institutional investors." Journal of Finance 45:231-243.
18. Maberly, E. 1995. "Eureka! Eureka! Discovery of the Monday effect belongs to the ancient scribes." Financial Analysts Journal 51:5:10-11.
19. Puffer M.K. 1991. "Private Information and Weekend Volatility in the Tokyo and New York Stock Markets." Journal of Banking and Finance 15: 407-423.
20. Schwert, W.G. "Anomalies and Market Efficiency." Pp. 937-972 in Handbook of the Economics of Finance, eds. G. Constantinides, M. Harris, and R. Stulz. Elsevier Science.
21. Sias, R. and L. Starks. 1995. "The day-of-the-week anomaly: the role of institutional investors." Financial Analysts Journal 51:3:58-67.
22. Simes R.J. 1986. "An Improved Bonferroni Procedure for Multiple Tests of Significance." Biometrica 73:3:751-754.
23. Smirlock, M. and L. Starks. 1986. "Day-of-the-Week and Intraday Effects in Stock Returns." Journal of Financial Economics 17:197-210.
24. Sokal, R. and F. Rohlf. 1981. Biometry: The Principles and Practice of Statistics in Biological Research 2nd Ed. NewYork: W. H. Freeman.
25. Tong, W. 2000. "International Evidence on Weekend Anomalies." Journal of Financial Research 23: 4:495-522.
26. Unger M. and B. Lauterbach. 1991. "Return Generation Patterns in the Israeli Stock Market." Israel Economic Quarterly September.