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Author:Högholm, K.
Knif, J.
Pynnönen, S.
Title:Cross-distributional robustness of conditional weekday effects: evidence from European equity-index returns
Journal:European Journal of Finance
2011 : MAY-JUL, VOL 17:5-6 p. 377-390
Index terms:Europe
stock markets
regression analysis
volatility
distribution
Freeterms:anomalies
Language:eng
Abstract:This paper re-examines the issue of the robustness of the weekday effect. Specifically, by utilizing a quantile regression approach, the homogeneity of observed day-of-the-week anomalies is monitored and tested over different parts of conditional return distribution. The weekday patterns in the returns on the European market index and 18 European country indexes are analyzed for the time period from January 2000 through December 2006. Generally, the sign of the estimated weekday effects in both the conditional mean and volatility seems to be very robust over the return distribution.
SCIMA record nr: 272797
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