Abstract

This note examines the day-of-the-week effect in Australian daily stock returns at the market and industry levels and for small capitalization stocks from Monday 9 September 1996 to Friday 10 November 2006. A regression-based approach is employed. The results indicate that while the Australian market overall provides no evidence of daily seasonality, there is evidence of a small cap day-of-the-week effect with systematically higher returns on Thursdays and Fridays. The analysis of the sub-market returns is also partly supportive of day-of-the-week effects in the banking, diversified financial, energy, healthcare, insurance, materials and retail industries. However, these rarely coincide with the lower Monday or lower Tuesday returns typified in earlier work.

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