Table 4 The magnitude and consistency of the day-of-the-week effect, subperiod analysis
From: The evolution and cross-section of the day-of-the-week effect
| Â | Portfolio/Decile | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Â | EW | VW | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 |
Panel A: Average daily abnormal return and Welch ANOVA 1953–1970 | ||||||||||||
Monday | −0.216% | −0.205% | −0.182% | −0.212% | −0.234% | −0.231% | −0.235% | −0.230% | −0.217% | −0.206% | −0.198% | −0.204% |
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% |
Tuesday | −0.058% | −0.011% | −0.131% | −0.105% | −0.077% | −0.082% | −0.056% | −0.044% | −0.037% | −0.027% | −0.019% | −0.002% |
p-value | 0.2% | 29.7% | 0.0% | 0.0% | 0.1% | 0.0% | 0.8% | 2.5% | 4.4% | 9.3% | 16.9% | 45.7% |
Wednesday | 0.101% | 0.095% | 0.089% | 0.096% | 0.108% | 0.090% | 0.120% | 0.114% | 0.106% | 0.106% | 0.093% | 0.092% |
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% |
Thursday | 0.039% | 0.019% | 0.061% | 0.049% | 0.048% | 0.051% | 0.034% | 0.039% | 0.035% | 0.019% | 0.025% | 0.015% |
p-value | 3.3% | 16.3% | 0.7% | 1.9% | 2.3% | 1.5% | 7.5% | 4.4% | 5.5% | 17.5% | 10.2% | 22.5% |
Friday | 0.132% | 0.099% | 0.162% | 0.171% | 0.153% | 0.170% | 0.134% | 0.118% | 0.111% | 0.105% | 0.096% | 0.096% |
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% |
Welch ANOVA, full week | ||||||||||||
F-statistic | 34.72 | 26.92 | 29.99 | 37.19 | 35.45 | 38.66 | 31.85 | 30.22 | 29.30 | 28.61 | 26.63 | 24.66 |
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: Average daily abnormal return and Welch ANOVA 1971–1988 | ||||||||||||
Monday | −0.200% | −0.159% | −0.150% | −0.190% | −0.200% | −0.212% | −0.232% | −0.231% | −0.219% | −0.214% | −0.209% | −0.144% |
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% |
Tuesday | −0.101% | 0.000% | −0.143% | −0.155% | −0.142% | −0.145% | −0.125% | −0.115% | −0.098% | −0.078% | −0.059% | 0.021% |
p-value | 0.0% | 49.8% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.1% | 1.1% | 24.0% |
Wednesday | 0.042% | 0.060% | −0.006% | 0.016% | 0.021% | 0.045% | 0.050% | 0.056% | 0.061% | 0.065% | 0.071% | 0.058% |
p-value | 2.8% | 1.9% | 39.3% | 23.7% | 17.4% | 2.5% | 1.9% | 1.2% | 0.9% | 0.5% | 0.3% | 2.7% |
Thursday | 0.071% | 0.025% | 0.052% | 0.085% | 0.085% | 0.087% | 0.085% | 0.086% | 0.079% | 0.078% | 0.066% | 0.012% |
p-value | 0.0% | 18.2% | 0.7% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.1% | 0.1% | 0.4% | 34.4% |
Friday | 0.180% | 0.066% | 0.243% | 0.239% | 0.230% | 0.217% | 0.213% | 0.195% | 0.169% | 0.141% | 0.120% | 0.046% |
p-value | 0.0% | 0.7% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 5.3% |
Welch ANOVA, full week | ||||||||||||
F-statistic | 37.25 | 6.51 | 54.61 | 57.53 | 49.92 | 45.74 | 43.14 | 37.32 | 29.37 | 23.94 | 18.90 | 4.53 |
p-value | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.1% |
Panel C: Average daily abnormal return and Welch ANOVA 1989–2006 | ||||||||||||
Monday | −0.136% | 0.001% | −0.146% | −0.164% | −0.157% | −0.149% | −0.134% | −0.118% | −0.109% | −0.090% | −0.075% | 0.019% |
p-value | 0.0% | 49.2% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.1% | 0.5% | 1.8% | 29.1% |
Tuesday | −0.055% | −0.013% | −0.150% | −0.096% | −0.089% | −0.052% | −0.043% | −0.039% | −0.026% | −0.022% | −0.030% | −0.008% |
p-value | 0.8% | 34.4% | 0.0% | 0.0% | 0.0% | 0.9% | 4.2% | 7.9% | 19.2% | 24.0% | 16.5% | 40.0% |
Wednesday | 0.028% | 0.028% | −0.007% | 0.014% | 0.015% | 0.020% | 0.022% | 0.036% | 0.043% | 0.052% | 0.045% | 0.025% |
p-value | 10.9% | 17.1% | 39.8% | 25.9% | 24.4% | 18.5% | 18.4% | 9.2% | 6.9% | 4.0% | 6.4% | 20.6% |
Thursday | 0.041% | −0.007% | 0.073% | 0.055% | 0.055% | 0.041% | 0.046% | 0.039% | 0.035% | 0.022% | 0.026% | −0.015% |
p-value | 4.1% | 40.7% | 0.2% | 0.6% | 0.5% | 3.3% | 3.3% | 7.8% | 12.2% | 23.9% | 20.2% | 31.7% |
Friday | 0.114% | −0.009% | 0.226% | 0.184% | 0.169% | 0.134% | 0.101% | 0.075% | 0.050% | 0.032% | 0.030% | −0.020% |
p-value | 0.0% | 39.4% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.3% | 4.7% | 15.1% | 16.1% | 27.5% |
Welch ANOVA, full week | ||||||||||||
F-statistic | 15.00 | 0.30 | 34.13 | 38.23 | 31.90 | 19.41 | 11.42 | 6.68 | 4.24 | 2.90 | 2.33 | 0.41 |
p-value | 0.0% | 88.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.2% | 2.1% | 5.4% | 80.5% |