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

Zilca, Shlomo

doi:10.1186/s40854-017-0079-4

Financial Innovation

Table 5 Day-of-the-week effect and mood, 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
λ₀	-0.5841	-0.7243	-0.8092	-0.8558	-0.8237	-0.8748	-0.7486	-0.6979	-0.6549	-0.6031	-0.5723	-0.5646
Newey-West S.E.	0.0670	0.0684	0.0842	0.0760	0.0767	0.0749	0.0772	0.0740	0.0716	0.0661	0.0648	0.0689
t-statistic	-8.71	-10.59	-9.61	-11.26	-10.74	-11.69	-9.70	-9.43	-9.14	-9.12	-8.83	-8.20
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%
λ₁	0.0942	0.1168	0.1305	0.1381	0.1329	0.1411	0.1208	0.1126	0.1056	0.0973	0.0923	0.0911
Newey-West S.E.	0.0101	0.0103	0.0130	0.0115	0.0117	0.0114	0.0117	0.0112	0.0108	0.0100	0.0098	0.0104
t-statistic	9.30	11.33	10.08	11.97	11.37	12.43	10.29	10.07	9.74	9.77	9.44	8.74
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	0.0152	0.0221	0.0195	0.0251	0.0229	0.0270	0.0188	0.0177	0.0171	0.0161	0.0156	0.0134
Adjusted R²	0.0150	0.0218	0.0192	0.0249	0.0227	0.0267	0.0186	0.0175	0.0169	0.0159	0.0153	0.0132
Proportion of effect explained by mood	53.5%	64.1%	71.1%	72.7%	66.7%	74.1%	59.0%	56.6%	56.7%	53.4%	54.5%	51.9%
Panel B: 1971-1988
λ₀	-0.4275	-0.8908	-1.0030	-1.0830	-1.0637	-1.0445	-1.0528	-0.9969	-0.8936	-0.7974	-0.7125	-0.3291
Newey-West S.E.	0.0946	0.0749	0.0678	0.0716	0.0764	0.0814	0.0813	0.0851	0.0871	0.0873	0.0895	0.0987
t-statistic	-4.52	-11.89	-14.79	-15.13	-13.92	-12.84	-12.95	-11.71	-10.26	-9.13	-7.96	-3.33
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%
λ₁	0.0689	0.1436	0.1617	0.1746	0.1715	0.1684	0.1697	0.1607	0.1441	0.1286	0.1149	0.0531
Newey-West S.E.	0.0145	0.0109	0.0096	0.0102	0.0110	0.0118	0.0119	0.0125	0.0128	0.0129	0.0134	0.0153
t-statistic	4.75	13.13	16.89	17.04	15.53	14.26	14.28	12.83	11.23	9.94	8.59	3.48
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%
R²	0.0042	0.0293	0.0396	0.0427	0.0383	0.0346	0.0332	0.0287	0.0223	0.0180	0.0138	0.0022
Adjusted R²	0.0040	0.0291	0.0394	0.0425	0.0381	0.0344	0.0330	0.0285	0.0221	0.0178	0.0136	0.0020
Proportion of effect explained by mood	52.9%	85.8%	91.5%	89.7%	90.1%	85.4%	85.6%	83.2%	80.1%	74.9%	69.4%	39.7%
Panel C: 1989-2006
λ₀	0.0329	-0.5721	-0.9736	-0.8388	-0.7833	-0.6458	-0.5338	-0.4260	-0.3319	-0.2370	-0.2208	0.1000
Newey-West S.E.	0.0981	0.0728	0.0792	0.0649	0.0661	0.0709	0.0793	0.0899	0.0962	0.0978	0.0996	0.1018
t-statistic	0.34	-7.86	-12.30	-12.91	-11.86	-9.11	-6.74	-4.74	-3.45	-2.42	-2.22	0.98
p-value	26.3%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.1%	1.5%	2.7%	32.6%
λ₁	-0.0053	0.0922	0.1569	0.1352	0.1262	0.1041	0.0860	0.0686	0.0535	0.0382	0.0356	-0.0161
Newey-West S.E.	0.0158	0.0112	0.0120	0.0097	0.0099	0.0108	0.0122	0.0139	0.0150	0.0153	0.0156	0.0164
t-statistic	-0.34	8.23	13.09	13.96	12.78	9.68	7.06	4.93	3.57	2.49	2.28	-0.98
p-value	26.3%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	1.3%	2.3%	32.7%
R²	0.0000	0.0117	0.0255	0.0297	0.0257	0.0162	0.0091	0.0047	0.0024	0.0012	0.0010	0.0002
Adjusted R²	-0.0002	0.0115	0.0253	0.0294	0.0255	0.0160	0.0089	0.0045	0.0022	0.0010	0.0008	0.0000
Proportion of effect explained by mood	NA	85.5%	89.9%	92.6%	92.1%	90.0%	84.9%	73.9%	59.4%	42.9%	46.5%	NA

Table 5 provides analysis of the day-of-the-week effect with the simple-average mood template (reported in column 4 of Table 1) as the explanatory variable. The results are reported in three Panels corresponding to three subperiods. The upper part of each panel presents the regression statistics for each portfolio, the bottom part reports the ratios of the R² of the mood variable regression to the R² of the respective dummy variable regression. The results show that the regression coefficient of the mood variable is positive and statistically significant in the large majority of the cases. The ratios of the R² of the mood variable regression to the R² of the dummy variable regression suggest that mood remains a valid explanatory variable of the day-of-the-week effect across the three subperiods

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