Day-of-the-week effects: another evidence from top 50 Australian stocks

Abstract

In this paper, we study day-of-the-week effects in the top 50 Australian companies across different industry sectors. Unlike other Australian studies, we study weekday seasonality using stock return data of individual companies. Utilizing the daily data for the period of January 2001 through June 2010, we find that weekday anomalies are mixed across companies and industries. We also find the largest mean weekday returns occur on Monday for 15 companies, most of which are the materials and energy companies. Further tests indicate that returns on Monday are significant larger than the other four days for six companies. Our results lend some support to the view of reversing weekend effects (e.g., Connolly, 1989; Doyle and Chen, 2007).