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Reversal of the weekend effect in Canada: an empirical analysis

Reversal of the weekend effect in Canada: an empirical analysis Purpose – The purpose of the paper is to check for reverse weekend effect in the Canadian stock market. Design/methodology/approach – T ‐tests, non‐parametric tests and regressions were employed. Findings – There is reverse weekend effect in the Canadian stock market. Canadian stocks are shown to exhibit the traditional weekend effect prior to 1988, dissipating after that year until 1998 and then reversing to become the first non‐US market for which a reverse weekend effect is found. Originality/value – This is the first paper on the Canadian stock market looking at reversal. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Managerial Finance Emerald Publishing

Reversal of the weekend effect in Canada: an empirical analysis

Managerial Finance , Volume 37 (9): 15 – Aug 9, 2011

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References (24)

Publisher
Emerald Publishing
Copyright
Copyright © 2011 Emerald Group Publishing Limited. All rights reserved.
ISSN
0307-4358
DOI
10.1108/03074351111153221
Publisher site
See Article on Publisher Site

Abstract

Purpose – The purpose of the paper is to check for reverse weekend effect in the Canadian stock market. Design/methodology/approach – T ‐tests, non‐parametric tests and regressions were employed. Findings – There is reverse weekend effect in the Canadian stock market. Canadian stocks are shown to exhibit the traditional weekend effect prior to 1988, dissipating after that year until 1998 and then reversing to become the first non‐US market for which a reverse weekend effect is found. Originality/value – This is the first paper on the Canadian stock market looking at reversal.

Journal

Managerial FinanceEmerald Publishing

Published: Aug 9, 2011

Keywords: Reverse weekend effect; Canada; Stock markets

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