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

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  • 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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  • Anthony Gu, 2004. "The Reversing Weekend Effect: Evidence from the U.S. Equity Markets," Review of Quantitative Finance and Accounting, Springer, vol. 22(1), pages 5-14, January.
    • Handle: RePEc:kap:rqfnac:v:22:y:2004:i:1:p:5-14
    DOI: 10.1023/B:REQU.0000006183.42549.50
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    Cited by:

    1. Olson, Dennis & Mossman, Charles & Chou, Nan-Ting, 2015. "The evolution of the weekend effect in US markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 56-63.
    2. Easterday, Kathryn E. & Sen, Pradyot K., 2016. "Is the January effect rational? Insights from the accounting valuation model," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 168-185.
    3. Shlomo Zilca, 2017. "The evolution and cross-section of the day-of-the-week effect," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-12, December.
    4. Sakhr Miss & Michel Charifzadeh & Tim A. Herberger, 2020. "Revisiting the monday effect: a replication study for the German stock market," Management Review Quarterly, Springer, vol. 70(2), pages 257-273, May.
    5. Xiao Li & Bin Liu, 2021. "The Short-Selling Hypothesis of Weekend Effect and T + 1 Trading Mechanism," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(3), pages 449-467, September.
    6. Keef, Stephen P. & Khaled, Mohammed & Zhu, Hui, 2009. "The dynamics of the Monday effect in international stock indices," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 125-133, June.
    7. Dumitriu, Ramona & Stefanescu, Razvan, 2013. "DOW effects in returns and in volatility of stock markets during quiet and turbulent times," MPRA Paper 47218, University Library of Munich, Germany, revised 02 Apr 2013.
    8. Shlomo Zilca, 2017. "Day-of-the-week returns and mood: an exterior template approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-21, December.
    9. Denis Boudreaux & Spuma Rao & Phillip Fuller, 2010. "An investigation of the weekend effect during different market orientations," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(3), pages 257-268, July.
    10. Georgios Bampinas & Stilianos Fountas & Theodore Panagiotidis, 2015. "The Day-of-the-Week Effect is Weak: Evidence from the European Real Estate Sector," Working Paper series 15-19, Rimini Centre for Economic Analysis.
    11. Kaiser, Lars, 2019. "Seasonality in cryptocurrencies," Finance Research Letters, Elsevier, vol. 31(C).
    12. Tienyu Hwang & Simon Gao & Heather Owen, 2014. "Markowitz efficiency and size effect: evidence from the UK stock market," Review of Quantitative Finance and Accounting, Springer, vol. 43(4), pages 721-750, November.
    13. Anthony Yanxiang Gu, 2015. "The June Phenomenon and the Changing Month of the Year Effect," Accounting and Finance Research, Sciedu Press, vol. 4(3), pages 1-1, August.

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    Keywords

    weekend effect; anomaly; reverse;
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