Testing for weekday anomaly in international stock index returns with non-normal errors

Minimum Absolute Deviation (MAD) estimation method is used to examine weekday anomaly in 18 international stock exchanges between 1990 and 2003. Weekday return anomaly is found with OLS method in two and with MAD method in eight stock exchanges. Empirical test distributions of F -type test for OLS and MAD estimators with Laplace errors were derived with simulations.

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Year of publication:	2006
Authors:	Linden, Mikael ; Louhelainen, Mika
Published in:	Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 2.2006, 3, p. 193-197
Publisher:	Taylor and Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005495886