Clarification of Misconception on the Day of the Week Effect: Methodological Analysis

Journal of Financial Management and Analysis, Vol. 20, No. 1, January-June 2007

27 Pages Posted: 24 Oct 2007

See all articles by Dimitrios Tryfonidis

Dimitrios Tryfonidis

University of Macedonia - Accounting and Finance

STAVROS MURONIDIS

Aristotle University of Thessaloniki - Department of Mathematics

Ioannis Lazaridis

University of Macedonia - Accounting and Finance

Abstract

We examine the well studied Day of the Week effect (DWE), which is for many authors the effect that the day of the week has on the daily differences of the general index (GI). We try to clarify differences between the DWE and the impact that the day has on the GI. We also examine the impact that the lunar phases have on daily returns of the GI. We use a large period of data 1986-2006 from the Athens Stock Exchange where we apply general linear models for the purposes of our analysis. We found from our analysis that the day is statistically significant (a-level=0.05) on the daily returns of the GI. Moreover we found that the lunar phases are statistically significant (a-level=0.05) for the daily returns of the general index as well as the interaction of the lunar phases with the day of the week.

Keywords: Day of the week, Calendar effect, General linear model

JEL Classification: G12, G14

Suggested Citation

Tryfonidis, Dimitrios and MURONIDIS, STAVROS and Lazaridis, Ioannis, Clarification of Misconception on the Day of the Week Effect: Methodological Analysis. Journal of Financial Management and Analysis, Vol. 20, No. 1, January-June 2007. Available at SSRN: https://ssrn.com/abstract=1022923

Dimitrios Tryfonidis

University of Macedonia - Accounting and Finance

156 Egnatia Str.
Thessaloniki, 54006
Greece

STAVROS MURONIDIS

Aristotle University of Thessaloniki - Department of Mathematics

Thessaloniki
Greece

Ioannis Lazaridis (Contact Author)

University of Macedonia - Accounting and Finance ( email )

156 Egnatia Str.
Thessaloniki, 54006
Greece

Register to save articles to
your library

Register

Paper statistics

Downloads
174
Abstract Views
1,389
rank
175,353
PlumX Metrics