Reversal of the weekend effect in Canada: an empirical analysis
AbstractPurpose – 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.
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Bibliographic InfoArticle provided by Emerald Group Publishing in its journal Managerial Finance.
Volume (Year): 37 (2011)
Issue (Month): 9 (September)
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- K. Stephen Haggard & H. Douglas Witte, 2012. "Subperiod robustness checks: testing for effect mean stationarity," Managerial Finance, Emerald Group Publishing, vol. 38(3), pages 530-542, May.
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