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Economic sentiment shifts over weekends and their impact on stock returns

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  • Lau, Jin

Abstract

This paper examines how changes in economic sentiment influence stock returns in the United States financial market, with a particular focus on non-trading days, specifically weekends. The results show that stock returns are lower on Mondays compared to other weekdays, consistent with the Monday effect. Using a daily economic news sentiment index, large sentiment shifts, positive or negative, are negatively correlated with returns, especially after weekends when sentiment changes accumulate. In pessimistic states, this negative effect intensifies, while in optimistic states, sentiment volatility is slightly positively correlated with returns, underscoring the role of sentiment across trading breaks.

Suggested Citation

  • Lau, Jin, 2026. "Economic sentiment shifts over weekends and their impact on stock returns," Economics Letters, Elsevier, vol. 264(C).
    • Handle: RePEc:eee:ecolet:v:264:y:2026:i:c:s0165176526001576
    DOI: 10.1016/j.econlet.2026.112963
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    Keywords

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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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