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Using stochastic dominance criterion to examine the day-of-the-week effect

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  • C.-S. Hsieh
  • C.-T. Chen

Abstract

We used stochastic dominance theory which is distribution-free, with and without risk-free asset to examine whether the day-of-the-week effect exists in the Taiwan Interbank Call Loan Market (TICLM). The empirical evidence from TICLM presented here suggests that Mondays are associated with higher return than all the other trading days of the week in the all various maturities except overnight. Tuesday is associated with higher returns in the overnight maturity. These results imply that financial institution getting the right asset allocation and to have a better funds management.

Suggested Citation

  • C.-S. Hsieh & C.-T. Chen, 2012. "Using stochastic dominance criterion to examine the day-of-the-week effect," Applied Financial Economics, Taylor & Francis Journals, vol. 22(14), pages 1207-1213, July.
    • Handle: RePEc:taf:apfiec:v:22:y:2012:i:14:p:1207-1213
    DOI: 10.1080/09603107.2011.646061
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