Access the full text.
Sign up today, get DeepDyve free for 14 days.
W. Compton, R. Kunkel (1999)
A Tax-Free Exploitation of the Weekend Effect: A ‘switching’ Strategy in the College Retirement Equities Fund (CREF)American Business Review, 17
Edward Chow, Ping Hsiao, M. Solt (1997)
Trading Returns for the Weekend Effect Using Intraday DataJournal of Business Finance & Accounting, 24
William Compton, Robert Kunkel (2000)
Tax-free trading on calendar stock and bond market patternsJournal of Economics and Finance, 24
W. Ziemba (1993)
Comment on ”Why a Weekend Effect?“, 19
A. Gu, Joseph Finnerty (2002)
The Evolution of Market Efficiency: 103 Years Daily Data of the DowReview of Quantitative Finance and Accounting, 18
A. Gu (2003)
The Diminishing Weekend Effect: Experience of Five G7 CountriesAcademy of Accounting and Financial Studies Journal, 7
P. Fortune (1999)
Are Stock Returns Different over Weekends? A Jump Diffusion Analysis of the "Weekend Effect"New England Economic Review
Ben Branch, J. Jung, Taewon Yang (2001)
The Monday merger effectInternational Review of Financial Analysis, 10
Mohammad Najand, Kenneth Yung (1994)
CONDITIONAL HETEROSKEDASTICITY AND THE WEEKEND EFFECT IN S&P 500 INDEX FUTURESJournal of Business Finance & Accounting, 21
Ben Branch, David Echevarria (1991)
The Impact of Bid-Ask Prices on Market AnomaliesThe Financial Review, 26
E. Miller (1988)
Why a weekend effect, 14
A. Gu (2003)
The declining January effect: evidences from the U.S. equity marketsThe Quarterly Review of Economics and Finance, 43
Josef Lakonishok, M. Levi (1985)
Weekend Effects on Stock Returns: A CommentJournal of Finance, 40
J. Schatzberg, P. Datta (1992)
THE WEEKEND EFFECT AND CORPORATE DIVIDEND ANNOUNCEMENTSJournal of Financial Research, 15
J. Jaffe, R. Westerfield (1985)
The Week-End Effect in Common Stock Returns: The International EvidenceJournal of Finance, 40
E. Higgins, Shelly Howton, Steven Perfect (2000)
The Impact of the Day of the Week on IPO Return Autocorrelation and Cross- Correlation, 39
W. Tong (2000)
International Evidence on Weekend AnomaliesJournal of Financial Research, 23
Chan-Wung Kim, Jinwoo Park (1994)
Holiday Effects and Stock Returns: Further EvidenceJournal of Financial and Quantitative Analysis, 29
J. Brusa, Pu Liu, Craig Schulman (2000)
The Weekend Effect, ‘Reverse’ Weekend Effect, and Firm SizeJournal of Business Finance & Accounting, 27
Ko Wang, Yuming Li, John Erickson (1997)
A New Look at the Monday EffectJournal of Finance, 52
J. Coutts, Peter Hayes (1999)
The weekend effect, the Stock Exchange Account and the Financial Times Industrial Ordinary Shares Index: 1987-1994Applied Financial Economics, 9
J. Board, C. Sutcliffe (1988)
The Weekend Effect In Uk Stock Market ReturnsJournal of Business Finance & Accounting, 15
Richard Rogalski (1984)
New Findings Regarding Day‐of‐the‐Week Returns over Trading and Non‐Trading Periods: A NoteJournal of Finance, 39
J. Lakonishok (1990)
The Weekend Effect: Trading Patterns of Individual and InstThe Journal of Finance, 45
A. Abraham, D. Ikenberry (1994)
The Individual Investor and the Weekend EffectJournal of Financial and Quantitative Analysis, 29
Reena Aggarwal, Pietra Rivoli (1989)
Seasonal and Day-of-the-Week Effects in Four Emerging Stock MarketsThe Financial Review, 24
D. French (1984)
The weekend effect on the distribution of stock prices: Implications for option pricingJournal of Financial Economics, 13
J. Singleton, John Wingender (1994)
THE NONPARALLEL WEEKEND EFFECT IN THE STOCK AND BOND MARKETSJournal of Financial Research, 17
Avraham Kamara (1997)
New Evidence on the Monday Seasonal in Stock ReturnsThe Journal of Business, 70
Donald Keim, R. Stambaugh (1984)
A Further Investigation of the Weekend Effect in Stock ReturnsJournal of Finance, 39
Josef Lakonishok, M. Levi (1982)
Weekend Effects on Stock Returns: A NoteJournal of Finance, 37
M. Theobald, Vera Price (1984)
Seasonality Estimation in Thin MarketsJournal of Finance, 39
Ryan Sullivan, A. Timmermann, H. White (2001)
Dangers of data mining: the case of calendar effects in stock returnsJournal of Econometrics, 105
S. Hindmarch, D. Jentsch, D. Drew (1984)
A Note on Canadian Stock Returns and the Weekend EffectJournal of Business Administration, 14
Josef Lakonishok, E. Maberly (1990)
The Weekend Effect: Trading Patterns of Individual and Institutional InvestorsJournal of Finance, 45
F. Cross (1973)
The Behavior of Stock Prices on Fridays and MondaysFinancial Analysts Journal, 29
Robert Connolly (1989)
An Examination of the Robustness of the Weekend EffectJournal of Financial and Quantitative Analysis, 24
E. Dyl, M. Stanley, J. Lakonishok, M. Levi (1985)
Weekend Effects on Stock Returns: A Comment/ReplyThe Journal of Finance, 40
R. Aggarwal, R. Pietra (1989)
Seasonal and Day-of-the-Week Effects in Four Emerging StockThe Financial Review, 24
S. Mehdian, Mark Perry (2001)
The Reversal of the Monday Effect: New Evidence from US Equity MarketsJournal of Business Finance & Accounting, 28
K. French (1980)
Stock returns and the weekend effectJournal of Financial Economics, 8
J. Steeley (2001)
A note on information seasonality and the disappearance of the weekend effect in the UK stock marketJournal of Banking and Finance, 25
R. Sias, L. Starks (1995)
The Day-of-the-Week Anomaly: The Role of Institutional InvestorsFinancial Analysts Journal, 51
A. Chatterjee (1997)
Market Anomalies RevisitedJournal of Applied Business Research, 13
The well-known weekend effect has been reversing in Major U.S. indices from late 1980s to late 1990s. The correlation between Monday and Friday returns also exhibited a declining trend, and fluctuated around zero in the 1990s. A power ratio method is developed to measure consistently the relative contribution of Friday and Monday returns to the return of the week in each individual year. The revealed dynamics of the anomaly explains why previous researchers report different or conflicting findings. The anomaly may not be necessarily related to firm size.
Review of Quantitative Finance and Accounting – Springer Journals
Published: Oct 2, 2004
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.