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Individual versus institutional investors and the weekend effect

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  • Paul Brockman
  • David Michayluk

Abstract

Since the late 1980’s, considerable research has focused on the behavior of individual versus institutional investors and the potential patterns which may emerge from their trading activities. Miller (1988) and Abraham and Ikenberry (1994) posit that the tendency for negative Monday returns on equity (i.e., the weekend effect) is at least partially explained by the trading behavior of individual investors. Sias and Starks (1995), on the other hand, present empirical evidence showing a dominant role played by institutional traders. This study contributes to the literature by distinguishing between individual versus institutional trading as it relates to the weekend effect. We find that the information-processing hypothesis is consistent with observed institutional trading patterns, thus supporting the results of Sias and Starks (1995). In addition, these results are shown to be robust with respect to market type (i.e., auction and dealer markets). Copyright Springer 1998

Suggested Citation

  • Paul Brockman & David Michayluk, 1998. "Individual versus institutional investors and the weekend effect," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(1), pages 71-85, March.
    • Handle: RePEc:spr:jecfin:v:22:y:1998:i:1:p:71-85
    DOI: 10.1007/BF02823234
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    References listed on IDEAS

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    2. Elda du Toit & John Henry Hall & Rudra Prakash Pradhan, 2018. "The day-of-the-week effect: South African stock market indices," African Journal of Economic and Management Studies, Emerald Group Publishing Limited, vol. 9(2), pages 197-212, June.
    3. Mursalim Mursalim, 2009. "Persamaan Struktural: Aktivisme Institusi, Kepemilikan Institusional dan Manajerial, Kebijakan Dividen dan Utang," Jurnal Akuntansi dan Auditing Indonesia, Accounting Department, Faculty of Business and Economics, Universitas Islam Indonesia, vol. 13(1).
    4. Roberto Joaquín Santillán Salgado & Alejandro Fonseca Ramírez & Luis Nelson Romero, 2019. "The "day-of-the-week" effects in the exchange rate of Latin American currencies," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 485-507, Agosto 20.
    5. Chowdhury, Anup & Uddin, Moshfique & Anderson, Keith, 2022. "Trading behaviour and market sentiment: Firm-level evidence from an emerging Islamic market," Global Finance Journal, Elsevier, vol. 53(C).
    6. Itzhak Venezia, 2018. "Lecture Notes in Behavioral Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10751, March.
    7. Shlomo Zilca, 2017. "The evolution and cross-section of the day-of-the-week effect," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-12, December.
    8. repec:uii:jaaife:v:13:y:2009:i:1:p:43-59 is not listed on IDEAS
    9. repec:ers:journl:v:vi:y:2018:i:4:p:93-104 is not listed on IDEAS
    10. Ülkü, Numan & Rogers, Madeline, 2018. "Who drives the Monday effect?," Journal of Economic Behavior & Organization, Elsevier, vol. 148(C), pages 46-65.
    11. Tori, Cynthia Royal, 2001. "Federal Open Market Committee meetings and stock market performance," Financial Services Review, Elsevier, vol. 10(1-4), pages 163-171.
    12. Shlomo Zilca, 2017. "Day-of-the-week returns and mood: an exterior template approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-21, December.
    13. Venezia, Itzhak & Shapira, Zur, 2007. "On the behavioral differences between professional and amateur investors after the weekend," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1417-1426, May.
    14. Yung-Jang Wang & M. Walker, 2000. "An empirical test of individual and institutional trading patterns in Japan, Hong Kong, and Taiwan," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 24(2), pages 178-194, June.
    15. Venezia, Itzhak & Shapira, Zur, 2004. "Do professional investors behave differently than amateurs after the weekend?," Discussion Papers 2004/14, Free University Berlin, School of Business & Economics.

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