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The weekend effect, good news, bad news and the Financial Times Industrial Ordinary Shares Index: 1935-94

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  • Zainudin Arsad
  • J. Andrew Coutts

Abstract

In recent years much evidence has been documented of the existence of regularities in stock price returns, and consequently the notion of market efficiency has been questioned. The primary objective of this paper is to investigate the 'weekend' effect for a large sample of daily returns from the Financial Times Industrial Ordinary Shares Index (FT 30). Empirical results lead us to tentatively suggest that a weekend effect has existed for the FT 30, but that this regularity has not been persistent. We then partition the Monday returns into positive and negative returns, and find that whilst the weekend effect holds for the Mondays, with negative returns, it fails to hold for Mondays which exhibit positive returns. These results support the results of earlier research. Finally we conclude that these results do not contest the notion of market efficiency.

Suggested Citation

  • Zainudin Arsad & J. Andrew Coutts, 1996. "The weekend effect, good news, bad news and the Financial Times Industrial Ordinary Shares Index: 1935-94," Applied Economics Letters, Taylor & Francis Journals, vol. 3(12), pages 797-801.
    • Handle: RePEc:taf:apeclt:v:3:y:1996:i:12:p:797-801
    DOI: 10.1080/135048596355628
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    1. Yadav, Pradeep K. & Pope, Peter F., 1992. "Intraweek and intraday seasonalities in stock market risk premia: Cash and futures," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 233-270, February.
    2. Josef Lakonishok, Seymour Smidt, 1988. "Are Seasonal Anomalies Real? A Ninety-Year Perspective," Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 403-425.
    3. Terence Mills & J. Andrew Coutts, 1995. "Calendar effects in the London Stock Exchange FT-SE indices," The European Journal of Finance, Taylor & Francis Journals, vol. 1(1), pages 79-93.
    4. Badrinath, S G & Chatterjee, Sangit, 1988. "On Measuring Skewness and Elongation in Common Stock Return Distributions: The Case of the Market Index," The Journal of Business, University of Chicago Press, vol. 61(4), pages 451-472, October.
    5. Penman, Stephen H., 1987. "The distribution of earnings news over time and seasonalities in aggregate stock returns," Journal of Financial Economics, Elsevier, vol. 18(2), pages 199-228, June.
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    1. J. Andrew Coutts & Peter Hayes, 1999. "The weekend effect, the Stock Exchange Account and the Financial Times Industrial Ordinary Shares Index: 1987-1994," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 67-71.
    2. Shiok Ye Lim & Chong Mun Ho & Brian Dollery, 2010. "An empirical analysis of calendar anomalies in the Malaysian stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 20(3), pages 255-264.

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