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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

  Portfolio/Decile
  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%
  1. Table 4 provides information on the statistical significance of the day-of-the-week effect on a day-by-day basis and jointly across days of the week in three subperiods: 1953–1970 (panel A), 1971–1988 (panel B), and 1989–2006 (panel C). The sizes of the F statistics of the Welch ANOVA in the VW and EW portfolios suggest that the magnitude of the effect has declined over time. The results also show tendency for returns to improve during the week in many cases, although in some cases this pattern is interrupted by a high abnormal return on Wednesday