Reversal of the weekend effect in Canada: an empirical analysis
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@1d03eb48 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.
Volume (Year): 37 (2011)
Issue (Month): 9 (August)
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References listed on IDEAS
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- 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.
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- 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.
- 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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