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The Weekend and ‘Reverse’ Weekend Effects: An Analysis by Month of the Year, Week of the Month, and Industry

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  • Jorge Brusa
  • Pu Liu
  • Craig Schulman

Abstract

In this paper, we examine whether the ‘reverse’ weekend effect recently documented by Brusa, Liu and Schulman (2000) is concentrated in a few industries or widely spread across all the industries. The findings in this paper indicate that the ‘reverse’ weekend effect exists not only in broad indices, but also in most industries. The results suggest that the ‘reverse’ weekend effect may be driven by economic events that affect all industries, rather than industry‐specific factors. Although the patterns of Monday returns are similar between broad indices and industry indices, they are different between the pre‐ and the post‐1988 periods. Monday returns tend to be negative in the pre‐1988 period, but tend to be positive in the post‐1988 period, for both broad market indices and industry indices. These conclusions are valid even after considering the influence of the month‐of‐the‐year and the week‐of‐the‐month effects.

Suggested Citation

  • Jorge Brusa & Pu Liu & Craig Schulman, 2003. "The Weekend and ‘Reverse’ Weekend Effects: An Analysis by Month of the Year, Week of the Month, and Industry," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(5‐6), pages 863-890, June.
    • Handle: RePEc:bla:jbfnac:v:30:y:2003:i:5-6:p:863-890
    DOI: 10.1111/1468-5957.05386
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    References listed on IDEAS

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    Cited by:

    1. 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.
    2. Srinivas Nippani & Augustine C. Arize, 2008. "U.S. corporate bond returns: A study of market anomalies based on broad industry groups," Review of Financial Economics, John Wiley & Sons, vol. 17(3), pages 157-171, August.
    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. Nickolaos Tsangarakis, 2007. "The day-of-the-week effect in the Athens Stock Exchange (ASE)," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1447-1454.
    5. N. Kreander & R.H. Gray & D.M. Power & C.D. Sinclair, 2005. "Evaluating the Performance of Ethical and Non-ethical Funds: A Matched Pair Analysis," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(7-8), pages 1465-1493.
    6. Högholm, Kenneth & Knif, Johan, 2009. "The impact of portfolio aggregation on day-of-the-week effect: Evidence from Finland," Global Finance Journal, Elsevier, vol. 20(1), pages 67-79.
    7. Kai-Yin Woo & Chulin Mai & Michael McAleer & Wing-Keung Wong, 2020. "Review on Efficiency and Anomalies in Stock Markets," Economies, MDPI, vol. 8(1), pages 1-51, March.
    8. Nippani, Srinivas & Arize, Augustine C., 2008. "U.S. corporate bond returns: A study of market anomalies based on broad industry groups," Review of Financial Economics, Elsevier, vol. 17(3), pages 157-171, August.
    9. Sakhr Miss & Michel Charifzadeh & Tim A. Herberger, 2020. "Revisiting the monday effect: a replication study for the German stock market," Management Review Quarterly, Springer, vol. 70(2), pages 257-273, May.
    10. Levy, Tamir & Yagil, Joseph, 2012. "The week-of-the-year effect: Evidence from around the globe," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1963-1974.
    11. Xiao Li & Bin Liu, 2021. "The Short-Selling Hypothesis of Weekend Effect and T + 1 Trading Mechanism," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(3), pages 449-467, September.
    12. Jorge Brusa & Pu Liu & Craig Schulman, 2005. "Weekend Effect, 'Reverse' Weekend Effect, and Investor Trading Activities," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(7-8), pages 1495-1517.
    13. Sungro Lee, Chang Sik Kim, In-Moo Kim & Chang Sik Kim & In-Moo Kim, 2012. "Testing the Monday Effect using High-frequency Intraday Returns: A Spatial Dominance Approach," Korean Economic Review, Korean Economic Association, vol. 28, pages 69-90.
    14. Kenneth Hogholm & Johan Knif & Seppo Pynnonen, 2011. "Common and local asymmetry and day-of-the-week effects among EU equity markets," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 219-227.
    15. Bikker, Jacob A. & Spierdijk, Laura & van der Sluis, Pieter Jelle, 2007. "Market impact costs of institutional equity trades," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 974-1000, October.

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