Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/71257
Authors: 
Alt, Raimund
Fortin, Ines
Weinberger, Simon
Year of Publication: 
2002
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 127
Abstract: 
This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in Biometrics and Medical Statistics. We test all pairwise comparisons of daily expected stock returns, while the probability of committing any type I error is always kept smaller than or equal to some prespecified level a for each combination of true null hypotheses. We confirm day-of-theweek effects for the S&P 500, the FTSE 30 and the DAX 30 found in earlier studies, but find no evidence for the 1990's.
Subjects: 
day-of-the-week effect
multiple hypotheses testing
multiple comparisons
closed test procedures
multiple level a test
JEL: 
C12
C20
G14
Document Type: 
Working Paper

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