Davidson, Sinclair; Faff, Robert - In: Applied Economics Letters 6 (1999) 4, pp. 247-249
This paper re-investigates the day-of-the-week effect in Australia. This issue has been previously investigated using an Australian dataset over the period 1974-95 by Easton and Faff (Applied Financial Economics, 4, 1994). They find that the robust techniques suggested by Connolly (Journal of...