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The Reversing Weekend Effect: Evidence from the U.S. Equity Markets

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Author Info
Anthony Gu ()
Abstract

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. Copyright Kluwer Academic Publishers 2004

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File URL: http://hdl.handle.net/10.1023/B:REQU.0000006183.42549.50
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Publisher Info
Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

Volume (Year): 22 (2004)
Issue (Month): 1 (January)
Pages: 5-14
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Handle: RePEc:kap:rqfnac:v:22:y:2004:i:1:p:5-14

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Web page: http://springerlink.metapress.com/link.asp?id=102990

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Related research
Keywords: weekend effect; anomaly; reverse;

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  1. Lakonishok, Josef & Levi, Maurice, 1982. " Weekend Effects on Stock Returns: A Note," Journal of Finance, American Finance Association, vol. 37(3), pages 883-89, June. [Downloadable!] (restricted)
  2. Keim, Donald B & Stambaugh, Robert F, 1984. " A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 819-35, July. [Downloadable!] (restricted)
  3. Gu, Anthony Yanxiang & Finnerty, Joseph, 2002. " The Evolution of Market Efficiency: 103 Years Daily Data of the Dow," Review of Quantitative Finance and Accounting, Springer, vol. 18(3), pages 219-37, May. [Downloadable!] (restricted)
  4. Abraham, Abraham & Ikenberry, David L., 1994. "The Individual Investor and the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(02), pages 263-277, June. [Downloadable!]
  5. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March. [Downloadable!] (restricted)
  6. Singleton, J Clay & Wingender, John R, 1994. "The Nonparallel Weekend Effect in the Stock and Bond Markets," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 17(4), pages 531-38, Winter.
  7. French, Dan W., 1984. "The weekend effect on the distribution of stock prices : Implications for option pricing," Journal of Financial Economics, Elsevier, vol. 13(4), pages 547-559, December. [Downloadable!] (restricted)
  8. Schatzberg, John D & Datta, Prabir, 1992. "The Weekend Effect and Corporate Dividend Announcements," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 15(1), pages 69-76, Spring.
  9. Kim, Chan-Wung & Park, Jinwoo, 1994. "Holiday Effects and Stock Returns: Further Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(01), pages 145-157, March. [Downloadable!]
  10. Wang, Ko & Li, Yuming & Erickson, John, 1997. " A New Look at the Monday Effect," Journal of Finance, American Finance Association, vol. 52(5), pages 2171-86, December. [Downloadable!] (restricted)
  11. Kamara, Avraham, 1997. "New Evidence on the Monday Seasonal in Stock Returns," Journal of Business, University of Chicago Press, vol. 70(1), pages 63-84, January. [Downloadable!] (restricted)
  12. Connolly, Robert A., 1989. "An Examination of the Robustness of the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 133-169, June. [Downloadable!]
  13. Edward H. Chow & Ping Hsiao & Michael E. Solt, 1997. "Trading Returns for the Weekend Effect Using Intraday Data," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 24(3), pages 425-444. [Downloadable!] (restricted)
  14. Theobald, Michael & Price, Vera, 1984. " Seasonality Estimation in Thin Markets," Journal of Finance, American Finance Association, vol. 39(2), pages 377-92, June. [Downloadable!] (restricted)
  15. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001. "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 249-286, November. [Downloadable!] (restricted)
  16. Rogalski, Richard J, 1984. " A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 835-37, July. [Downloadable!] (restricted)
  17. Tong, Wilson, 2000. "International Evidence on Weekend Anomalies," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 23(4), pages 495-522, Winter.
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