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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%
  1. 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