An Examination of the Robustness of the Weekend Effect
分析星期效应和周末效应在不同估计和检验方法下的稳健性，发现样本大小会扭曲经典检验统计量的解释，且两种效应在1975年后似乎消失。
This paper analyzes the robustness of the day-of-the-week (DOW) and weekend effects to alternative estimation and testing procedures. The results show that sample size can distort the interpretation of classical test statistics unless the significance level is adjusted down? ward. Specification tests reveal widespread departures from OLS assumptions. Hypothe? sis tests results are reported using robust econometric methods and a GARCH model. The strength of the DOW and weekend effect evidence appears to depend on the estimation and testing method. Both effects seem to have disappeared by 1975.