International Evidence on the Robustness of the Day-of-the-Week Effect

摘要: Consistent with Connolly's (1989), (1991) evidence, this study finds that sample size and/or error term adjustments render U.S. day-of-the-week effects statistically insignificant. In contrast, in seven European countries and Canada Hong Kong are robust to individual or adjustments, five survive the simultaneous imposition of both types adjustments. most where robust, however, significant not more than two weeks out month. These findings inconsistent explanations effect based on institutional differences arrival new information. Thus, absence other potential already dismissed by Jaffe Westerfield (1985), evidence further complicates international puzzle.