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Applied Economics Letters Volume 6, 1999 - Issue 4
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Original Articles

Some additional Australian evidence on the day-of-the-week effect

SINCLAIR DAVIDSON
&
ROBERT FAFF
Pages 247-249 | Published online: 06 Oct 2010

Citations (21)

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Turki Abalala & Robert Sollis. (2015) The Saturday effect: an interesting anomaly in the Saudi stock market. Applied Economics 47:58, pages 6317-6330.
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Rima Turk Ariss, Rasoul Rezvanian & Seyed M. Mehdian. (2012) WTO membership, ownership deregulation, and market efficiency: evidence from China. Applied Financial Economics 22:3, pages 177-195.
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Kenneth Högholm, Johan Knif & Seppo Pynnönen. (2011) Common and local asymmetry and day-of-the-week effects among EU equity markets. Quantitative Finance 11:2, pages 219-227.
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G. Kohers, N. Kohers, V. Pandey & T. Kohers. (2004) The disappearing day-of-the-week effect in the world's largest equity markets. Applied Economics Letters 11:3, pages 167-171.
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Articles from other publishers (17)

Grace Lepone, Joakim Westerholm & Danika Wright. (2022) Speculative trading preferences of retail investor birth cohorts. Accounting & Finance 63:1, pages 555-574.
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Abdulelah Alsayari & Guneratne Wickremasinghe. (2022) Changes to the trading calendar and the day of the week effect in returns and volatility of the Saudi Stock Exchange. Investment Management and Financial Innovations 19:4, pages 160-170.
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Deok-Hyeon Lee, Byoung-Kyu Min & Yuchao Xiao. (2020) Testing the mood seasonality hypothesis: Evidence from down under. Pacific-Basin Finance Journal 64, pages 101440.
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Ercan Balaban, Tolga Ozgen & Socrates Karidis. (2018) Intraday and interday distribution of stock returns and their asymmetric conditional volatility: Firm-level evidence. Physica A: Statistical Mechanics and its Applications 503, pages 905-915.
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Georgios Bampinas, Stilianos Fountas & Theodore Panagiotidis. (2015) The day-of-the-week effect is weak: Evidence from the European real estate sector. Journal of Economics and Finance 40:3, pages 549-567.
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Osman Ulas Aktas & Lawrence Kryzanowski. (2014) Market impacts of trades for stocks listed on the Borsa Istanbul. Emerging Markets Review 20, pages 152-175.
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Alex Frino, Maurice Peat & Danika Wright. (2011) The impact of auctions on residential property prices. Accounting & Finance 52:3, pages 815-830.
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Andrew C. Worthington. (2008) The decline of calendar seasonality in the Australian stock exchange, 1958–2005. Annals of Finance 6:3, pages 421-433.
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Osamah Al‐Khazali, Taisier A. Zoubi & Evangelos P. Koumanakos. (2010) The Saturday effect in emerging stock markets: a stochastic dominance approach. International Journal of Emerging Markets 5:2, pages 227-246.
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Kenneth Högholm & Johan Knif. (2009) The impact of portfolio aggregation on day-of-the-week effect: Evidence from Finland. Global Finance Journal 20:1, pages 67-79.
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ANDREW C. WORTHINGTON. (2010) NATIONAL EXUBERANCE: A NOTE ON THE MELBOURNE CUP EFFECT IN AUSTRALIAN STOCK RETURNS. Economic Papers: A journal of applied economics and policy 26:2, pages 170-179.
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Hooi Hooi Lean, Russell Smyth & Wing-Keung Wong. (2007) Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach. Journal of Multinational Financial Management 17:2, pages 125-141.
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Jason D. Mitchell & Li L. Ong. (2006) Seasonalities in China's Stock Markets: Cultural or Structural?. IMF Working Papers 06:4, pages 1.
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Alex Frino & Teddy Oetomo. (2005) Slippage in futures markets: Evidence from the Sydney Futures Exchange. Journal of Futures Markets 25:12, pages 1129-1146.
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Saqib Sharif. (2008) An Investigation into the Role of Short-Selling and Its Impact on the Weekend Effect Evidence from Australian Market. SSRN Electronic Journal.
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Wing-Keung Wong, Weiwei Qiao & Zhuo Qiao. (2010) Examining the Day-of-the-Week Effects in Chinese Stock Markets: New Evidence from a Stochastic Dominance Approach. SSRN Electronic Journal.
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Andrew C. Worthington. (2008) The Decline of Calendar Seasonality in the Australian Stock Exchange, 1958-2005. SSRN Electronic Journal.
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