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The weekend effect, the Stock Exchange Account and the Financial Times Industrial Ordinary Shares Index: 1987-1994

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  • J. Andrew Coutts
  • Peter Hayes

Abstract

In recent years financial economists have provided much evidence of regularities in security market returns, and consequently the notion of market efficiency has been questioned. In the paper the so called 'weekend effect' is investigated for daily returns from the Financial Times Industrial Ordinary Shares Index. Empirical results suggest that a weekend effect does indeed exist, but that it is not as strong as has been previously documented for other major UK indices. Upon consideration of the operation of the stock exchange account, it is suggested that the weekend effect is in part a settlement effect. Finally, it is concluded that results do not contest the notion of market efficiency.

Suggested Citation

  • 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.
    • Handle: RePEc:taf:apfiec:v:9:y:1999:i:1:p:67-71
    DOI: 10.1080/096031099332537
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    References listed on IDEAS

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    3. Rudel, Richard K. & McCamley, Francis P., 2000. "Volatility Of Cash Corn Prices By Day-Of-The-Week," 2000 Annual meeting, July 30-August 2, Tampa, FL 21873, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    4. Chatzitzisi, Evanthia & Fountas, Stilianos & Panagiotidis, Theodore, 2021. "Another look at calendar anomalies," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 823-840.
    5. Krzysztof Borowski, 2015. "Analysis of the Weekend Effect on the Markets of 121 Equity Indices and 29 Commodities," Eurasian Journal of Business and Management, Eurasian Publications, vol. 3(4), pages 23-35.
    6. Brian Lucey, 2004. "Robust estimates of daily seasonality in the Irish equity market," Applied Financial Economics, Taylor & Francis Journals, vol. 14(7), pages 517-523.
    7. Julijana Angelovska, 2013. "An Econometric Analysis of Market Anomaly - Day of the Week Effect on a Small Emerging Market," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 3(1), pages 314-322, January.
    8. Quynh Van Nong & Chi Tim Ng, 2021. "Clustering of subsample means based on pairwise L1 regularized empirical likelihood," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(1), pages 135-174, February.
    9. Holden, Ken & Thompson, John & Ruangrit, Yuphin, 2005. "The Asian crisis and calendar effects on stock returns in Thailand," European Journal of Operational Research, Elsevier, vol. 163(1), pages 242-252, May.
    10. Maria Antonia Garcia Benau & Emiliano Ruiz Barbadillo & Christopher Humphrey & Walid Al Husaini, 1999. "Success in failure? Reflections on the changing Spanish audit environment," European Accounting Review, Taylor & Francis Journals, vol. 8(4), pages 701-730.
    11. Jeffrey E. Jarrett, 2008. "Predicting Daily Stock Returns: A Lengthy Study of the Hong Kong and Tokyo Stock Exchanges," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 7(1), pages 37-51, April.
    12. Theissen, Erik, 2005. "An analysis of private investors' stock market return forecasts," CFR Working Papers 05-16, University of Cologne, Centre for Financial Research (CFR).
    13. Tori, Cynthia Royal, 2001. "Federal Open Market Committee meetings and stock market performance," Financial Services Review, Elsevier, vol. 10(1-4), pages 163-171.
    14. Krzysztof Borowski & Malgorzata Lukasik, 2015. "Analysis of Selected Seasonality Effects in the Following Agricultural Markets: Corn, Wheat, Coffee, Cocoa, Sugar, Cotton and Soybeans," Eurasian Journal of Business and Management, Eurasian Publications, vol. 3(2), pages 12-37.

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