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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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    Citations

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    Cited by:

    1. Erik Theissen, 2007. "An analysis of private investors' stock market return forecasts," Applied Financial Economics, Taylor & Francis Journals, vol. 17(1), pages 35-43.
    2. Lucey, Brian M., 2006. "Investigating the determinants of the Wednesday seasonal in Irish Equities," Research in International Business and Finance, Elsevier, vol. 20(1), pages 62-76, March.
    3. Cho, Young-Hyun & Linton, Oliver & Whang, Yoon-Jae, 2007. "Are there Monday effects in stock returns: A stochastic dominance approach," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 736-755, December.
    4. 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.
    5. Tori, Cynthia Royal, 2001. "Federal Open Market Committee meetings and stock market performance," Financial Services Review, Elsevier, vol. 10(1-4), pages 163-171.
    6. 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.
    7. 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, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 7(1), pages 37-51, April.
    8. 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.
    9. 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.

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