A posterior odds analysis of the weekend effect☆
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Cited by (48)
Stock market anomalies: An extreme bounds analysis
2023, International Review of Financial AnalysisSignificance testing in empirical finance: A critical review and assessment
2015, Journal of Empirical FinanceCitation Excerpt :This occurs largely because the classical method of hypothesis testing is conducted with a fixed level of significance, while the Bayesian methods imply the critical values as an increasing function of sample size, as in Eqs. (2) and (3). In finance, Neal (1987) and Connolly (1989, 1991) acknowledge the effect of large sample size on significance testing and propose the Bayesian methods as an alternative. Connolly (1991) finds that earlier empirical evidence for the weekend effect in stock return is reversed if the Bayesian method is used.
The Monday effect revisited: An alternative testing approach
2011, Journal of Empirical FinanceCitation Excerpt :All kinds of competing explanations have been presented — the timing of corporate releases after Friday's close (see Damodaran, 1989), short sellers closing positions over non-trading periods such as weekends (Chen and Singal, 2003) as well as the comparative advantage of informed traders when markets first open after a period of no trading (see Foster and Viswanathan, 1990). Meanwhile various methodological issues related, among others, to time series properties of stock returns have been addressed (see e.g. Chang et al., 1993; Connolly, 1991). This paper is concerned with the problem that empirical tests of day-of-the-week effects do not appropriately account for the so-called multiplicity effect.1
Japanese day-of-the-week return patterns: New results
2009, Global Finance JournalThe day-of-the-week effect and conditional volatility: Sensitivity of error distributional assumptions
2008, Review of Financial Economics
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Comments and assistance from the following individuals are gratefully acknowledged: Nai-fu Chen, John Clarke, Charles Cuny, Phil Dybvig, Robert Eisenbeis, Robert Haugen, Chuan-Yang Hwang, Chris Lamoureux, Edward E. Leamer, Ron Masulis, Richard McEnally, Henry McMillan, Marlene Puffer, Erik Sirri, Seymour Smidt, Paul Spindt, Laura Starks, Neal Stoughton, Rex Thompson, and Arnold Zellner. I am grateful to Dale Poirier (the editor) for considerable help and assistance. An associate editor and two anonymous referees also provided very useful comments. I benefited from comments of seminar participants at Rutgers University, Southern Methodist University, University of California at Irvine, University of North Carolina at Chapel Hill, Washington University, and the 36th meeting of the NBER-NSF Seminar on Bayesian Inference in Econometrics held at the School of Business Administration, The University of Michigan, April 1988. Juli Jones and Kwang Lee provided capable research assistance. Several grants from the University of California-Irvine Academic Senate Committee on Research and a UCI Faculty Research Fellowship provided financial support during the time this research was underway. The usual caveat applies.