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Weekend Effect, 'Reverse' Weekend Effect, and Investor Trading Activities

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  • Jorge Brusa
  • Pu Liu
  • Craig Schulman

Abstract

In this study, we document evidence of a 'reverse' weekend effect - whereby Monday returns are significantly "positive" and they are higher than the returns on other days of the week - over an extended period of eleven years (from 1988 to 1998). We also find that the 'traditional' weekend effect and the 'reverse' effect are related to firm size in that the 'traditional' weekend effect tends to be associated with small firms while the 'reverse' weekend effect tends to be associated with large firms. In addition, we find that during the period in which the 'reverse' weekend effect is observed, Monday returns for large firms tend to follow previous Friday returns when previous Friday returns are "positive", but they do not follow the previous Friday returns when Friday returns are "negative". Furthermore, we find that during the period in which the 'reverse' weekend effect is observed, Monday returns are "positively" related to the volume of "medium-size" and "block" transactions, but "negatively" related to the volume of "odd-lot" transactions. Copyright Blackwell Publishers Ltd, 2005.

Suggested Citation

  • Jorge Brusa & Pu Liu & Craig Schulman, 2005. "Weekend Effect, 'Reverse' Weekend Effect, and Investor Trading Activities," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(7-8), pages 1495-1517.
  • Handle: RePEc:bla:jbfnac:v:32:y:2005-09:i:7-8:p:1495-1517
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    References listed on IDEAS

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    1. Barclay, Michael J. & Warner, Jerold B., 1993. "Stealth trading and volatility : Which trades move prices?," Journal of Financial Economics, Elsevier, vol. 34(3), pages 281-305, December.
    2. Schwert, G William, 1990. "Indexes of U.S. Stock Prices from 1802 to 1987," The Journal of Business, University of Chicago Press, vol. 63(3), pages 399-426, July.
    3. Holthausen, Robert W. & Leftwich, Richard W. & Mayers, David, 1987. "The effect of large block transactions on security prices: A cross-sectional analysis," Journal of Financial Economics, Elsevier, vol. 19(2), pages 237-267, December.
    4. Kamara, Avraham, 1997. "New Evidence on the Monday Seasonal in Stock Returns," The Journal of Business, University of Chicago Press, vol. 70(1), pages 63-84, January.
    5. Jorge Brusa & Pu Liu & Craig Schulman, 2003. "The Weekend and 'Reverse' Weekend Effects: An Analysis by Month of the Year, Week of the Month, and Industry," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(5-6), pages 863-890.
    6. Paul A. Gompers & Andrew Metrick, 2001. "Institutional Investors and Equity Prices," The Quarterly Journal of Economics, Oxford University Press, vol. 116(1), pages 229-259.
    7. Steeley, James M., 2001. "A note on information seasonality and the disappearance of the weekend effect in the UK stock market," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1941-1956, October.
    8. Chang, Eric C. & Michael Pinegar, J. & Schachter, Barry, 1997. "Interday variations in volume, variance and participation of large speculators," Journal of Banking & Finance, Elsevier, vol. 21(6), pages 797-810, June.
    9. Del Guercio, Diane, 1996. "The distorting effect of the prudent-man laws on institutional equity investments," Journal of Financial Economics, Elsevier, vol. 40(1), pages 31-62, January.
    10. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    11. Jorge Brusa & Pu Liu & Craig Schulman, 2000. "The Weekend Effect, 'Reverse' Weekend Effect, and Firm Size," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(5&6), pages 555-574.
    12. Harris, Lawrence, 1986. "A transaction data study of weekly and intradaily patterns in stock returns," Journal of Financial Economics, Elsevier, vol. 16(1), pages 99-117, May.
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    Cited by:

    1. 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.
    2. repec:eee:phsmap:v:503:y:2018:i:c:p:905-915 is not listed on IDEAS
    3. Denise R. Osborn & Christos S. Savva & Len Gill, 2008. "Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(3), pages 307-325, Summer.
    4. Nikolaos Sariannidis & Polyxeni Papadopoulou & Evangelos Drimbetas, 2015. "Investigation of the Greek Stock Exchange volatility and the impact of foreign markets from 2007 to 2012," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 8(2), pages 55-68, October.
    5. Urquhart, Andrew & McGroarty, Frank, 2014. "Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 154-166.
    6. repec:eee:phsmap:v:508:y:2018:i:c:p:280-288 is not listed on IDEAS
    7. repec:eee:crpeac:v:25:y:2014:i:8:p:724-742 is not listed on IDEAS

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