IDEAS home Printed from https://ideas.repec.org/a/agr/journl/v1(638)y2024i1(638)p29-42.html
   My bibliography  Save this article

Day-of-the-week and weekend effects on stock market returns: an investigation through review of literature

Author

Listed:
  • Gaurav KUMAR

    (Mizoram University, Aizawl, India)

  • Prof. Bhartendu SINGH

    (Mizoram University, Aizawl, India)

Abstract

The weak-form of market efficiency states that stock price reflects all the historical price data thus abnormal return cannot be earned based on historical price. Many studies observed a pattern in generating returns over the week, where Fridays have been documented as a day providing significantly higher returns while Mondays as a day providing the lowest or negative return. The presence of a such pattern in the return violates the efficient market hypothesis in the weak form which provide a golden opportunity for smart and knowledgeable investors to exploit such a pattern and generate an abnormal return. This paper tries to critically review and synthesize the relevant research in the field of the days of the week and weekend effect by using a systematic literature review approach, from 1973 to 2023. This study concluded that the direction and magnitude of the days-of-the-week and weekend effects, for different stock markets across different periods are not the same, it may be due to different institutional arrangements, and religious and cultural beliefs.

Suggested Citation

  • Gaurav KUMAR & Prof. Bhartendu SINGH, 2024. "Day-of-the-week and weekend effects on stock market returns: an investigation through review of literature," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(1(638), S), pages 29-42, Spring.
    • Handle: RePEc:agr:journl:v:1(638):y:2024:i:1(638):p:29-42
    as

    Download full text from publisher

    File URL: http://store.ectap.ro/articole/1718.pdf
    Download Restriction: no
    File URL: http://www.ectap.ro/articol.php?id=1718&rid=154
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:agr:journl:v:1(638):y:2024:i:1(638):p:29-42. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marin Dinu (email available below). General contact details of provider: https://edirc.repec.org/data/agerrea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.