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ON STOCHASTIC DOMINANCE ANALYSIS OF DAY‐OF‐THE‐WEEK RETURN PATTERNS
Author(s) -
Wingender John,
Groff James E.
Publication year - 1989
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1989.tb00100.x
Subject(s) - stochastic dominance , statistics , econometrics , robustness (evolution) , dominance (genetics) , analysis of variance , day to day , statistical analysis , variance (accounting) , mathematics , names of the days of the week , normal distribution , economics , operations management , biology , biochemistry , linguistics , philosophy , gene , accounting
Studies show that significant differences exist among return distributions of days of the week. While these results are ubiquitous, their validity depends on the robustness of statistical procedures used. Virtually every day‐of‐the‐week study has used mean/variance analysis despite it being well documented that daily return distributions are nonnormal. This study uses stochastic dominance analysis, which is not distribution dependent, to test for a day‐of‐the‐week effect. Results indicate that the day‐of‐the‐week effect is robust and that previous findings are not artifacts deriving from violations of distributional assumptions.