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The Week-End Effect in Common Stock Returns: The International Evidence

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Author Info
Jaffe, Jeffrey F
Westerfield, Randolph
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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 40 (1985)
Issue (Month): 2 (June)
Pages: 433-54
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Handle: RePEc:bla:jfinan:v:40:y:1985:i:2:p:433-54

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  1. Pandey I M, 2002. "Is There Seasonality in the Sensex Monthly Returns?," IIMA Working Papers 2002-09-08, Indian Institute of Management Ahmedabad, Research and Publication Department. [Downloadable!]
  2. Al-Rjoub, Samer & Hassan, M. Kabir & Varela, Oscar Albert, 2003. "January reversal in the US weekend effect," Working Papers 2003-05, University of New Orleans, Department of Economics and Finance. [Downloadable!]
  3. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2000. "Losing Sleep at the Market: The Daylight Saving Anomaly," American Economic Review, American Economic Association, vol. 90(4), pages 1005-1011, September. [Downloadable!] (restricted)
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  4. Tokel, Omer Emre & Yucel, Eray M., 2009. "Does Internet access to official data display any regularity: case of the Electronic Data Delivery System of the Central Bank of Turkey," MPRA Paper 15704, University Library of Munich, Germany. [Downloadable!]
  5. Jose Garcia Blandon, 2007. "Return autocorrelation anomalies in two European stock markets," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Economics Department, vol. 22(1), pages 59-70, June. [Downloadable!]
  6. Amado Peiro Gimenez, 1994. "La estacionalidad diaria del mercado de acciones español," Investigaciones Economicas, Fundación SEPI, vol. 18(3), pages 557-569, September. [Downloadable!]
  7. Ercan Balaban, 1995. "Informational Efficiency of the Istanbul Securities Exchange and Some Rationale for Public Regulation," Discussion Papers 9502, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
  8. Paul Alagidede & Theodore Panagiotidis, 2006. "Calendar Anomalies in an Emerging African Market: Evidence from the Ghana Stock Exchange," Discussion Paper Series 2006_13, Department of Economics, Loughborough University, revised Jun 2006. [Downloadable!]
  9. Anwar, Yunita & Mulyadi, Martin Surya, 2009. "The day of the week effects in Indonesia, Singapore, and Malaysia stock market," MPRA Paper 16873, University Library of Munich, Germany. [Downloadable!]
  10. Konstantinos Drakos, 2009. "Big Questions, Little Answers: Terrorism Activity, Investor Sentiment and Stock Returns," Economics of Security Working Paper Series 8, DIW Berlin, German Institute for Economic Research. [Downloadable!]
  11. Veera Lenkkeri & Wessel Marquering & Ben Strunkmann-Meister, 2006. "The Friday Effect in European Securitized Real Estate Index Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 33(1), pages 31-50, August. [Downloadable!] (restricted)
  12. Zainal Abidin, Shahida Nadia & Wan Mahmood, Wan Mansor, 2007. "Day-of-the-Week Effect on the Bursa (Bourse) Malaysia: Further Evidence from Robust Estimations," MPRA Paper 13326, University Library of Munich, Germany. [Downloadable!]
  13. Stephen P. Keef & Melvin L. Roush, 2004. "Day-of-the-week effects: New Zealand bank bills, 1985-2000," Applied Financial Economics, Taylor and Francis Journals, vol. 14(12), pages 859-873, August. [Downloadable!] (restricted)
  14. Gordon Tang, 1998. "Weekly Pattern of Exchange Rate Risks: Evidence from Ten Asian-Pacific Currencies," Asia-Pacific Financial Markets, Springer, vol. 5(3), pages 261-274, November. [Downloadable!] (restricted)
  15. Syed A. Basher & Perry Sadorsky, 2004. "Day-of-the-week effects in emerging stock markets," Finance 0407017, EconWPA. [Downloadable!]
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  17. J. Ignacio Peña, 1992. "On meteor showers in stock markets: New York vs Madrid," Investigaciones Economicas, Fundación SEPI, vol. 16(2), pages 225-234, May. [Downloadable!]
  18. Li L. Ong & Jason D. Mitchell, 2006. "Seasonalities in China's Stock Markets: Cultural or Structural?," IMF Working Papers 06/04, International Monetary Fund. [Downloadable!]
  19. Josep Garcia Blandón, 2001. "New Findings Regarding Return Autocorrelation Anomalies and the Importance of Non-trading Periods," Economics Working Papers 585, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
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