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Table 3 Are variances equal across days of the week? Subperiod analysis

From: The evolution and cross-section of the day-of-the-week effect

  Portfolio/Decile
  EW VW 1 2 3 4 5 6 7 8 9 10
Panel A: Standard deviation of daily returns and tests of variance equality 1953–1970
Monday 0.81% 0.78% 0.94% 0.88% 0.89% 0.87% 0.89% 0.87% 0.82% 0.80% 0.77% 0.79%
Tuesday 0.62% 0.65% 0.75% 0.72% 0.71% 0.68% 0.70% 0.67% 0.65% 0.61% 0.60% 0.68%
Wednesday 0.65% 0.65% 0.75% 0.69% 0.71% 0.70% 0.73% 0.71% 0.68% 0.64% 0.62% 0.68%
Thursday 0.64% 0.59% 0.75% 0.71% 0.72% 0.71% 0.72% 0.69% 0.66% 0.62% 0.59% 0.60%
Friday 0.57% 0.55% 0.75% 0.65% 0.66% 0.63% 0.65% 0.61% 0.59% 0.55% 0.53% 0.56%
Levene
Test statistic 11.4 11.8 6.3 10.6 9.7 10.1 10.8 11.1 10.7 12.9 12.4 11.0
p-value 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Brown-Forsythe
Test statistic 9.5 10.7 6.2 10.2 8.5 8.7 9.0 9.3 9.3 10.6 11.0 10.4
p-value 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Panel B: Standard deviation of daily returns and tests of variance equality 1971–1988
Monday 0.87% 1.16% 0.81% 0.86% 0.90% 0.93% 0.95% 0.97% 0.99% 1.01% 1.04% 1.22%
Tuesday 0.68% 0.83% 0.69% 0.70% 0.73% 0.76% 0.77% 0.79% 0.79% 0.78% 0.78% 0.89%
Wednesday 0.68% 0.87% 0.64% 0.67% 0.69% 0.71% 0.75% 0.76% 0.79% 0.77% 0.80% 0.92%
Thursday 0.64% 0.82% 0.64% 0.65% 0.68% 0.69% 0.72% 0.73% 0.75% 0.74% 0.75% 0.87%
Friday 0.63% 0.81% 0.60% 0.63% 0.65% 0.68% 0.69% 0.71% 0.73% 0.72% 0.74% 0.85%
Levene
Test statistic 7.1 5.4 6.1 5.7 4.8 6.6 6.8 7.3 6.5 8.9 6.6 5.1
p-value 0.0% 0.0% 0.0% 0.0% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Brown-Forsythe
Test statistic 6.8 5.3 6.1 5.5 4.5 6.4 6.3 6.7 6.2 8.3 6.3 4.9
p-value 0.0% 0.0% 0.0% 0.0% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.1%
Panel C: Standard deviation of daily returns and tests of variance equality 1989–2006
Monday 0.79% 1.01% 0.91% 0.72% 0.74% 0.78% 0.85% 0.93% 1.01% 1.03% 1.04% 1.04%
Tuesday 0.70% 0.97% 0.84% 0.65% 0.65% 0.68% 0.75% 0.83% 0.91% 0.94% 0.94% 1.00%
Wednesday 0.70% 0.89% 0.85% 0.66% 0.65% 0.67% 0.75% 0.83% 0.89% 0.91% 0.90% 0.91%
Thursday 0.72% 0.94% 0.75% 0.65% 0.65% 0.67% 0.76% 0.83% 0.91% 0.93% 0.93% 0.96%
Friday 0.69% 0.96% 0.77% 0.61% 0.62% 0.66% 0.73% 0.83% 0.90% 0.92% 0.92% 0.99%
Levene
Test statistic 2.5 1.1 4.5 2.9 2.8 4.3 3.1 2.7 2.4 2.2 2.9 1.2
p-value 4.4% 35.2% 0.1% 2.0% 2.3% 0.2% 1.5% 3.1% 4.9% 6.7% 2.1% 31.4%
Brown-Forsythe
Test statistic 2.3 1.1 4.6 2.7 2.8 4.3 2.9 2.6 2.2 2.0 2.7 1.2
p-value 5.4% 35.1% 0.1% 2.7% 2.6% 0.2% 2.3% 3.7% 6.3% 8.8% 3.0% 31.8%
  1. Table 3 provides information on standard deviations of returns across days of the week for the EW, VW, and 10 size decile portfolios in three subperiods: 1953–1970 (Panel A), 1971–1988 (Panel B), and 1989–2006 (Panel C). We use the Levene and Brown-Forsythe tests to examine the joint null hypothesis that variances are equal across days of the week. The null hypothesis is rejected in all cases in the first two subperiods. In the third subperiod, the null hypothesis is rejected in deciles 1 through 6 and 9