Day-of-the-week returns and mood: an exterior template approach

Zilca, Shlomo

doi:10.1186/s40854-017-0079-4

Financial Innovation

Table 4 Dummy variable model of the day-of-the-week effect, subperiod analysis

From: Day-of-the-week returns and mood: an exterior template approach

	VW	EW	1	2	3	4	5	6	7	8	9	10
Panel A: 1953-1970
Mon. coefficient	-0.2158	-0.2158	-0.1825	-0.2124	-0.2344	-0.2309	-0.2348	-0.2299	-0.2173	-0.2062	-0.1978	-0.2036
Newey-West S.E.	0.0299	0.0299	0.0334	0.0323	0.0321	0.0319	0.0329	0.0321	0.0303	0.0295	0.0284	0.0293
t-statistic	-7.11	-7.21	-5.47	-6.58	-7.31	-7.23	-7.13	-7.16	-7.17	-7.00	-6.95	-6.96
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%
Tue. coefficient	-0.0583	-0.0583	-0.1311	-0.1050	-0.0768	-0.0821	-0.0560	-0.0437	-0.0367	-0.0267	-0.0192	-0.0025
Newey-West S.E.	0.0210	0.0210	0.0260	0.0248	0.0245	0.0231	0.0239	0.0227	0.0219	0.0203	0.0200	0.0222
t-statistic	-0.54	-2.77	-5.04	-4.23	-3.14	-3.55	-2.34	-1.93	-1.68	-1.31	-0.96	-0.11
p-value	59.1%	0.6%	0.0%	0.0%	0.2%	0.0%	1.9%	5.4%	9.3%	18.9%	33.9%	91.2%
Wed. coefficient	0.1005	0.1005	0.0890	0.0956	0.1082	0.0896	0.1196	0.1139	0.1055	0.1061	0.0932	0.0920
Newey-West S.E.	0.0213	0.0213	0.0247	0.0232	0.0231	0.0230	0.0239	0.0232	0.0221	0.0209	0.0202	0.0219
t-statistic	4.52	4.72	3.60	4.13	4.67	3.90	5.00	4.91	4.77	5.08	4.62	4.21
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%
Thu. coefficient	0.0392	0.0392	0.0615	0.0486	0.0475	0.0509	0.0344	0.0390	0.0348	0.0192	0.0247	0.0151
Newey-West S.E.	0.0219	0.0219	0.0261	0.0244	0.0245	0.0241	0.0247	0.0236	0.0221	0.0213	0.0199	0.0198
t-statistic	0.98	1.79	2.36	1.99	1.94	2.11	1.39	1.65	1.57	0.90	1.24	0.76
p-value	32.9%	7.3%	1.9%	4.6%	5.2%	3.5%	16.3%	9.8%	11.6%	36.6%	21.6%	44.7%
Fri. coefficient	0.1317	0.1317	0.1618	0.1712	0.1528	0.1699	0.1336	0.1175	0.1106	0.1047	0.0962	0.0958
Newey-West S.E.	0.0197	0.0197	0.0269	0.0233	0.0228	0.0218	0.0224	0.0207	0.0202	0.0186	0.0179	0.0189
t-statistic	5.42	6.70	6.03	7.35	6.71	7.80	5.96	5.67	5.47	5.62	5.38	5.07
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%
R²	0.0284	0.0344	0.0273	0.0345	0.0343	0.0364	0.0319	0.0313	0.0302	0.0302	0.0285	0.0258
Adjusted R²	0.0275	0.0336	0.0265	0.0337	0.0335	0.0355	0.0310	0.0304	0.0293	0.0293	0.0277	0.0249
F-statistic	30.0	37.7	25.7	37.0	36.2	40.6	33.5	32.8	31.5	33.0	29.8	27.0
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%
Panel B: 1971-1988
Mon. coefficient	-0.1589	-0.1998	-0.1498	-0.1902	-0.2001	-0.2119	-0.2321	-0.2308	-0.2195	-0.2144	-0.2090	-0.1439
Newey-West S.E.	0.0424	0.0332	0.0310	0.0327	0.0343	0.0354	0.0362	0.0367	0.0374	0.0377	0.0387	0.0442
t-statistic	-3.75	-6.01	-4.82	-5.82	-5.83	-5.98	-6.41	-6.28	-5.87	-5.68	-5.40	-3.26
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%
Tue. coefficient	0.0001	-0.1007	-0.1432	-0.1554	-0.1415	-0.1446	-0.1251	-0.1152	-0.0982	-0.0783	-0.0585	0.0206
Newey-West S.E.	0.0271	0.0241	0.0264	0.0259	0.0268	0.0277	0.0274	0.0279	0.0279	0.0270	0.0265	0.0289
t-statistic	0.00	-4.18	-5.43	-5.99	-5.28	-5.23	-4.56	-4.12	-3.52	-2.90	-2.21	0.71
p-value	99.6%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.4%	2.7%	47.6%
Wed. coefficient	0.0596	0.0424	-0.0057	0.0158	0.0212	0.0454	0.0505	0.0560	0.0605	0.0647	0.0711	0.0578
Newey-West S.E.	0.0280	0.0226	0.0228	0.0231	0.0231	0.0239	0.0247	0.0252	0.0260	0.0256	0.0263	0.0293
t-statistic	2.13	1.87	-0.25	0.68	0.91	1.90	2.04	2.22	2.33	2.52	2.71	1.97
p-value	3.4%	6.1%	80.4%	49.4%	36.0%	5.8%	4.1%	2.7%	2.0%	1.2%	0.7%	4.9%
Thu. coefficient	0.0248	0.0709	0.0523	0.0854	0.0848	0.0866	0.0848	0.0857	0.0789	0.0781	0.0665	0.0116
Newey-West S.E.	0.0267	0.0220	0.0236	0.0228	0.0237	0.0239	0.0245	0.0248	0.0250	0.0246	0.0248	0.0282
t-statistic	0.93	3.23	2.22	3.74	3.58	3.63	3.45	3.46	3.15	3.17	2.68	0.41
p-value	35.4%	0.1%	2.7%	0.0%	0.0%	0.0%	0.1%	0.1%	0.2%	0.2%	0.7%	68.1%
Fri. coefficient	0.0661	0.1798	0.2433	0.2392	0.2296	0.2174	0.2134	0.1955	0.1694	0.1408	0.1205	0.0459
Newey-West S.E.	0.0261	0.0216	0.0222	0.0226	0.0229	0.0236	0.0239	0.0244	0.0244	0.0242	0.0246	0.0274
t-statistic	2.53	8.32	10.96	10.58	10.04	9.22	8.94	8.02	6.93	5.82	4.90	1.67
p-value	1.1%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	9.4%
R²	0.0079	0.0342	0.0433	0.0476	0.0425	0.0405	0.0388	0.0345	0.0279	0.0240	0.0199	0.0056
Adjusted R²	0.0071	0.0333	0.0425	0.0468	0.0417	0.0397	0.0380	0.0337	0.0270	0.0231	0.0190	0.0048
F-statistic	6.6	40.3	69.1	65.5	54.1	46.6	46.2	39.1	30.5	24.6	19.3	4.2
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: 1989-2006
Mon. coefficient	0.0007	-0.1357	-0.1456	-0.1640	-0.1566	-0.1492	-0.1339	-0.1181	-0.1087	-0.0896	-0.0751	0.0194
Newey-West S.E.	0.0320	0.0270	0.0330	0.0259	0.0268	0.0280	0.0298	0.0325	0.0345	0.0344	0.0345	0.0326
t-statistic	0.02	-5.02	-4.41	-6.32	-5.85	-5.33	-4.50	-3.63	-3.16	-2.61	-2.18	0.60
p-value	98.3%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.2%	0.9%	3.0%	55.1%
Tue. coefficient	-0.0127	-0.0553	-0.1504	-0.0958	-0.0887	-0.0524	-0.0426	-0.0386	-0.0261	-0.0218	-0.0302	-0.0083
Newey-West S.E.	0.0317	0.0239	0.0295	0.0236	0.0235	0.0235	0.0258	0.0278	0.0302	0.0308	0.0305	0.0329
t-statistic	-0.40	-2.31	-5.09	-4.07	-3.77	-2.23	-1.65	-1.39	-0.86	-0.71	-0.99	-0.25
p-value	68.8%	2.1%	0.0%	0.0%	0.0%	2.6%	9.9%	16.5%	38.8%	47.9%	32.2%	80.1%
Wed. coefficient	0.0276	0.0285	-0.0072	0.0140	0.0148	0.0196	0.0222	0.0361	0.0435	0.0522	0.0448	0.0245
Newey-West S.E.	0.0296	0.0243	0.0296	0.0223	0.0221	0.0226	0.0250	0.0277	0.0296	0.0303	0.0298	0.0304
t-statistic	0.93	1.17	-0.24	0.63	0.67	0.87	0.89	1.30	1.47	1.73	1.50	0.81
p-value	35.0%	24.1%	80.8%	53.0%	50.2%	38.5%	37.4%	19.3%	14.2%	8.4%	13.3%	41.9%
Thu. coefficient	-0.0073	0.0413	0.0727	0.0551	0.0549	0.0410	0.0460	0.0393	0.0350	0.0220	0.0257	-0.0152
Newey-West S.E.	0.0319	0.0258	0.0272	0.0240	0.0233	0.0240	0.0269	0.0293	0.0314	0.0323	0.0318	0.0328
t-statistic	-0.23	1.60	2.67	2.29	2.36	1.71	1.71	1.34	1.11	0.68	0.81	-0.46
p-value	81.9%	10.9%	0.8%	2.2%	1.8%	8.8%	8.7%	18.1%	26.6%	49.7%	41.9%	64.2%
Fri. coefficient	-0.0085	0.1143	0.2261	0.1836	0.1686	0.1336	0.1013	0.0748	0.0499	0.0316	0.0303	-0.0197
Newey-West S.E.	0.0314	0.0233	0.0273	0.0209	0.0213	0.0223	0.0243	0.0278	0.0297	0.0304	0.0306	0.0326
t-statistic	-0.27	4.90	8.27	8.80	7.93	5.98	4.16	2.69	1.68	1.04	0.99	-0.60
p-value	78.6%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.7%	9.3%	29.8%	32.1%	54.6%
R²	0.0002	0.0137	0.0284	0.0320	0.0279	0.0180	0.0107	0.0064	0.0041	0.0028	0.0022	0.0003
Adjusted R²	-0.0006	0.0129	0.0276	0.0312	0.0270	0.0171	0.0098	0.0055	0.0032	0.0019	0.0013	-0.0005
F-statistic	0.3	16.3	37.2	41.6	35.9	21.6	11.7	6.4	4.2	2.8	2.2	0.4
p-value	89.1%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.1%	1.6%	5.5%	87.9%

Table 4 describes the evolution of the day-of-the-week effect in three 18-year subperiods, 1953–1970, 1971–1988 and 1989–2006, using the dummy variable regression model. The dummy variable regression model is estimated for the value-weighted (VW), equally-weighted (EW), and 10 decile portfolios sorted by market capitalization. The upper part of each panel provides the coefficients for each of the dummy variables and the bottom part provides results for the regression as a whole. The results show a decline in the magnitude of the effect that is more pronounced in the large capitalization deciles. There is no evidence though that the effect has vanished. All the tests are adjusted for heteroscedasticity and serial correlation using Newey-West standard errors

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