Reverse weekend effect, trading volume, and illiquidity
Purpose – The purpose of this paper is to provide a brief review of pre-2003 work on the weekend effect and then discuss how recent selected work has extended our knowledge of the subject. Design/methodology/approach – Results of recently published studies are organized and summarized by research question and outcomes. Findings – While early literature found a fairly consistent weekend effect, with positive returns on Fridays and negative returns on Mondays, more recent research shows the effect moving to other days, reversing or vanishing. Research limitations/implications – While it is difficult to compare studies made across different time periods, the direction of present research gives insight into how markets are adjusting to the weekend effect anomaly. Practical implications – Investors may find it very hard to adequately identify a trading strategy based on current research. = Originality/value – This work conveniently synthesizes and presents current research findings from a variety of published sources.
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Volume (Year): 37 (2011)
Issue (Month): 9 (September)
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References listed on IDEAS
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- John R. Becker-Blease & Donna L. Paul, 2006. "Stock Liquidity and Investment Opportunities: Evidence from Index Additions," Financial Management, Financial Management Association, vol. 35(3), Autumn.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- Chang, Eric C. & Pinegar, J. Michael & Ravichandran, R., 1993. "International Evidence on the Robustness of the Day-of-the-Week Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(04), pages 497-513, December.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- Cho, Young-Hyun & Linton, Oliver & Whang, Yoon-Jae, 2007.
"Are there Monday effects in stock returns: A stochastic dominance approach,"
Journal of Empirical Finance,
Elsevier, vol. 14(5), pages 736-755, December.
- Young-Hyun Cho & Oliver Linton & Yoon-Jae Whang, 2006. "Are there Monday effects in stock returns: a stochastic dominance approach," LSE Research Online Documents on Economics 24520, London School of Economics and Political Science, LSE Library.
- Yoon-Jae Whang & Young-Hyun Cho & Oliver Linton, 2006. "Are there Monday effects in Stock Returns: A Stochastic Dominance Approach," FMG Discussion Papers dp568, Financial Markets Group.
- Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
- Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
- 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.
- Doron Avramov & Tarun Chordia & Amit Goyal, 2006. "Liquidity and Autocorrelations in Individual Stock Returns," Journal of Finance, American Finance Association, vol. 61(5), pages 2365-2394, October.
- 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.
- Tarun Chordia, 2001. "Market Liquidity and Trading Activity," Journal of Finance, American Finance Association, vol. 56(2), pages 501-530, 04.
- John R. Becker-Blease & Donna L. Paul, 2006. "Stock Liquidity and Investment Opportunities: Evidence from Index Additions," Financial Management, Financial Management Association International, vol. 35(3), pages 35-51, 09.
- Lakonishok, Josef & Maberly, Edwin, 1990. " The Weekend Effect: Trading Patterns of Individual and Institutional Investors," Journal of Finance, American Finance Association, vol. 45(1), pages 231-43, March.
- 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.
- 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.
- French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
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