Wednesday, April 05, 2006
Daily effects
Daily effects: "Today is the 13th successive Tuesday on which the FTSE 100 has fallen - a fact made all the more remarkable because the market has risen over the last 13 weeks.This draws attention to the possibility that some days are better for the stock market than others. Here are average daily changes in the FTSE 100 since January 1 2005:
Monday = 0.124%
Tuesday = 0.011%
Wednesday = -0.033%
Thursday = 0.042%
Friday = 0.206%
The difference between Friday and Tuesday or Wednesday (and the average of Monday-Thursday) is statistically significant at the 5% level.
This is not a new finding. A famous paper (not webbed) by Josef Lakonishok and Seymour Smidt found that the Dow Jones did far better on Fridays than average between 1897 and 1986; for more on this, see the papers here.And Brian Lucey has found that Friday is also a good day for base metals prices. "
Monday = 0.124%
Tuesday = 0.011%
Wednesday = -0.033%
Thursday = 0.042%
Friday = 0.206%
The difference between Friday and Tuesday or Wednesday (and the average of Monday-Thursday) is statistically significant at the 5% level.
This is not a new finding. A famous paper (not webbed) by Josef Lakonishok and Seymour Smidt found that the Dow Jones did far better on Fridays than average between 1897 and 1986; for more on this, see the papers here.And Brian Lucey has found that Friday is also a good day for base metals prices. "
