Day of the Week Effects: New Zealand Bank Bills, 1985-2000

Posted: 17 Dec 2009

See all articles by Melvin Roush

Melvin Roush

Pittsburg State University; Victoria University of Wellington - Te Herenga Waka - School of Accounting and Commercial Law

Stephen P. Keef

Victoria University of Wellington - Te Herenga Waka - School of Accounting and Commercial Law

Date Written: 2004

Abstract

This study examines day-of-the-week effects in short term New Zealand bank bills with maturities of 30, 60 and 90 days. The analysis is based on a within-subject design. The spot interest rates within a week are treated as repeated measures on the same subject. These interest rates are transformed into orthogonal contrasts which can be analysed separately as dependent variables. Two analyses are conducted. The full data does not exhibit significant day-of-the-week effects. When the data is trimmed, to ameliorate the presence of fat tails, a Wednesday effect is observed for the three series. The ubiquitous weekend effect is observed for one series of interest rates. However, the reverse of the weekend effect is present for the two other series. The practical importance of the results is discussed.

Keywords: Bank bills, Spot interest rates, Wednesday effect

JEL Classification: G21, G24

Suggested Citation

Roush, Melvin and Keef, Stephen, Day of the Week Effects: New Zealand Bank Bills, 1985-2000 (2004). Applied Financial Economics, Vol. 14, No. 12, 2004, Available at SSRN: https://ssrn.com/abstract=1521884

Melvin Roush

Pittsburg State University ( email )

1701 S. Broadway
Pittsburg, KS 66762
United States

Victoria University of Wellington - Te Herenga Waka - School of Accounting and Commercial Law ( email )

Faculty of Commerce and Administration
PO Box 600
Wellington
New Zealand
64 4 471 5365 (Phone)
64 4 495 5076 (Fax)

Stephen Keef (Contact Author)

Victoria University of Wellington - Te Herenga Waka - School of Accounting and Commercial Law ( email )

Faculty of Commerce and Administration
PO Box 600
Wellington
New Zealand

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
282
PlumX Metrics