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Reversal of the weekend effect in Canada: an empirical analysis

Author

Listed:
  • Srinivas Nippani
  • John G. Greenhut

Abstract

Purpose - The purpose of the paper is to check for reverse weekend effect in the Canadian stock market. Design/methodology/approach - javax.xml.bind.JAXBElement@60136230 Findings - There is reverse weekend effect in the Canadian stock market. Canadian stocks are shown to exhibit the traditional weekend effect prior to 1988, dissipating after that year until 1998 and then reversing to become the first non-US market for which a reverse weekend effect is found. Originality/value - This is the first paper on the Canadian stock market looking at reversal.

Suggested Citation

  • Srinivas Nippani & John G. Greenhut, 2011. "Reversal of the weekend effect in Canada: an empirical analysis," Managerial Finance, Emerald Group Publishing, vol. 37(9), pages 840-854, August.
  • Handle: RePEc:eme:mfipps:v:37:y:2011:i:9:p:840-854
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    References listed on IDEAS

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    1. Wang, Ko & Li, Yuming & Erickson, John, 1997. " A New Look at the Monday Effect," Journal of Finance, American Finance Association, vol. 52(5), pages 2171-2186, December.
    2. Brusa, Jorge & Liu, Pu & Schulman, Craig, 2003. "The "reverse" weekend effect: the U.S. market versus international markets," International Review of Financial Analysis, Elsevier, vol. 12(3), pages 267-286.
    3. Johnson, Robert & Soenen, Luc, 2003. "Economic integration and stock market comovement in the Americas," Journal of Multinational Financial Management, Elsevier, vol. 13(1), pages 85-100, February.
    4. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    5. 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.
    6. Lakonishok, Josef & Levi, Maurice, 1982. " Weekend Effects on Stock Returns: A Note," Journal of Finance, American Finance Association, vol. 37(3), pages 883-889, June.
    7. 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.
    8. Aggarwal, Raj & Kyaw, NyoNyo A., 2005. "Equity market integration in the NAFTA region: Evidence from unit root and cointegration tests," International Review of Financial Analysis, Elsevier, vol. 14(4), pages 393-406.
    9. 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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    Citations

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    Cited by:

    1. Kenneth Washer & Srinivas Nippani & John Wingender, 2011. "Day-of-the-week effect in the Canadian money market," Managerial Finance, Emerald Group Publishing, vol. 37(9), pages 855-866, August.
    2. repec:eme:mfipps:v:36:y:2010:i:3:p:530-542 is not listed on IDEAS

    More about this item

    Keywords

    Reverse weekend effect; Canada; Stock markets;

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