期刊名称：International Journal of Business and Management
印刷版ISSN：1833-3850
电子版ISSN：1833-8119
出版年度：2008
卷号：3
期号：1
页码：3
DOI：10.5539/ijbm.v3n1P3
语种：English
出版社：Canadian Center of Science and Education
摘要：This note examines the day-of-the-week effect in Australian daily stock returns at the market and industry levels and for small capitalization stocks from Monday 9 September 1996 to Friday 10 November 2006. A regression-based approach is employed. The results indicate that while the Australian market overall provides no evidence of daily seasonality, there is evidence of a small cap day-of-the-week effect with systematically higher returns on Thursdays and Fridays. The analysis of the sub-market returns is also partly supportive of day-of-the-week effects in the banking, diversified financial, energy, healthcare, insurance, materials and retail industries. However, these rarely coincide with the lower Monday or lower Tuesday returns typified in earlier work.
