Multiple Comparisons of Return Distributions: A New Look at the Day-of-The-Week Effect

20 Pages Posted: 12 Mar 2002

See all articles by Dan Galai

Dan Galai

Hebrew University of Jerusalem - Jerusalem School of Business Administration

Haim Kedar-Levy

Ben Gurion University of the Negev - Guilford Glazer Faculty of Business and Management

Date Written: February 28, 2002

Abstract

Day-of-the-week tests for the entire distribution (rather then specific moments) are employed on the Tel-Aviv Stock Exchange index using non-parametric tests. We further add to prior art by examining whether Sunday's return distribution is significantly different from the distribution of any and all other days by employing Multiple Comparison Procedures (MCP). Both techniques, the non-parametric distribution test and the MCP, are not limited to assumptions of distribution normality. The tests were employed on the entire data-set (1988-1998); on three trend-oriented sub-periods (Up-Down-Up), and also conditional on previous day's sign (+/-). We find that Sunday's distribution is closer to Thursdays' (first and last trading days of the week) than to any other day. The MCP reveal significant differences between Sunday's return distribution and Monday-Thursday's for the entire period (1988-1998), and for the sample conditioned on "Down at t-1". The differences are found to a lesser extent for the "Up at t-1" sample, but not at all for the three trend sub-periods. The significant differences were not found for any other trading day.

Keywords: Day of the Week, Multiple Comparison Procedures, Non-Parametric Tests

JEL Classification: C14, C32, G14

Suggested Citation

Galai, Dan and Kedar-Levy, Haim, Multiple Comparisons of Return Distributions: A New Look at the Day-of-The-Week Effect (February 28, 2002). Available at SSRN: https://ssrn.com/abstract=302959 or http://dx.doi.org/10.2139/ssrn.302959

Dan Galai

Hebrew University of Jerusalem - Jerusalem School of Business Administration ( email )

Mount Scopus
Jerusalem, 91905
Israel
972 2 5883235 (Phone)
972 2 5881341 (Fax)

Haim Kedar-Levy (Contact Author)

Ben Gurion University of the Negev - Guilford Glazer Faculty of Business and Management ( email )

P.O. Box 653
Beer-Sheva 84105
Israel
(972) 8 6472569 (Phone)
(972) 8 6477697 (Fax)

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