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The Weekend Effect: Trading Patterns of Individual and Institutional Investors

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Author Info
Lakonishok, Josef
Maberly, Edwin

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Abstract

In this paper, the authors document regularities in trading patterns of individual and institutional investors related to the day of the week. They find a relative increase in trading activity by individuals on Mondays. In addition, there is a tendency for individuals to increase the number of sell transactions relative to buy transactions, which might explain at least part of the weekend effect. Copyright 1990 by American Finance Association.

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Publisher Info
Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 45 (1990)
Issue (Month): 1 (March)
Pages: 231-43
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Handle: RePEc:bla:jfinan:v:45:y:1990:i:1:p:231-43

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  2. 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!]
  3. Ryan Sullivan & Allan Timmermann & Halbert White, 1998. "Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," University of California at San Diego, Economics Working Paper Series 1998-16, Department of Economics, UC San Diego. [Downloadable!]
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  4. Anirut Pisedtasalasai & Abeyratna Gunasekarage, 2007. "Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia," Asia-Pacific Financial Markets, Springer, vol. 14(4), pages 277-297, December. [Downloadable!] (restricted)
  5. Riccardo Ferretti & Francesco Pattarin, 2008. "Is public information really public? The role of newspapers," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08013, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]
  6. 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)
  7. Stephen P. Keef & Melvin L. Roush, 2005. "Day-of-the-week effects in the pre-holiday returns of the Standard & Poor's 500 stock index," Applied Financial Economics, Taylor and Francis Journals, vol. 15(2), pages 107-119, January. [Downloadable!] (restricted)
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  9. Guglielmo Maria Caporale & Luis A. Gil-Alana & Mike Nazarski, 2004. "Testing Of Nonstationarities In The Unit Circle,Long Memory Processes And Day Of The Week Effects In Financial Data," Economics and Finance Discussion Papers 04-20, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
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  10. David K. Musto, 1997. "Investment Decisions Depend on Portfolio Disclosure," Center for Financial Institutions Working Papers 97-49, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  11. Guglielmo Maria Caporale & Nikolaos Philippas & Nikitas Pittis, 2004. "Feedbacks between mutual fund flows and security returns: evidence from the Greek capital market," Applied Financial Economics, Taylor and Francis Journals, vol. 14(14), pages 981-989, October. [Downloadable!] (restricted)
  12. Edwin D. Maberly & Daniel F. Waggoner, 2000. "Closing the question on the continuation of turn-of-the-month effects: evidence from the S&P 500 Index futures contract," Working Paper 2000-11, Federal Reserve Bank of Atlanta. [Downloadable!]
  13. James M. Steeley, 2004. "Information processing and the UK weekend effect: do investors cut their losses on Mondays?," Applied Economics Letters, Taylor and Francis Journals, vol. 11(14), pages 895-899, November. [Downloadable!] (restricted)
  14. 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!]
  15. 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!]
  16. 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!]
  17. Cemal Berk O&gcaron;uzsoy & Sibel Güven, 2003. "Stock returns and the day-of-the-week effect in İstanbul Stock Exchange," Applied Economics, Taylor and Francis Journals, vol. 35(8), pages 959-971, January. [Downloadable!] (restricted)
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