Consider the daily simple return of CRSP equal-weighted index, including distributions, from January 1980 to December 1999 in file d-ew8099.txt (date, ew). Indicator variables for Mondays, Tuesdays, Wednesdays, and Thursdays are in the first four columns of wkdays8099.txt.

Use a regression model to study the effects of trading days on the index return. What is the fitted model?

Are the weekday effects significant in the returns at the 5% level?

Use the HAC estimator of the covariance matrix to obtain the t-ratio of regression estimates.

Does it change the conclusion of weekday effect? Are there serial correlations in the regression residuals?

If yes, build a regression model with time series error to study weekday effects.