Abstract
This study examines day-of-the-week effects in short term New Zealand bank bills with maturities of 30, 60 and 90 days. The analysis is based on a within-subject design. The spot interest rates within a week are treated as repeated measures on the same subject. These interest rates are transformed into orthogonal contrasts which can be analysed separately as dependent variables. Two analyses are conducted. The full data does not exhibit significant day-of-the-week effects. When the data is trimmed, to ameliorate the presence of fat tails, a Wednesday effect is observed for the three series. The ubiquitous weekend effect is observed for one series of interest rates. However, the reverse of the weekend effect is present for the two other series. The practical importance of the results is discussed.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
