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
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: Suggested Citation