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Weekend Effect, ‘Reverse’ Weekend Effect, and Investor Trading Activities

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  • Jorge Brusa
  • Pu Liu
  • Craig Schulman

Abstract

In this study, we document evidence of a ‘reverse’ weekend effect – whereby Monday returns are significantly positive and they are higher than the returns on other days of the week – over an extended period of eleven years (from 1988 to 1998). We also find that the ‘traditional’ weekend effect and the ‘reverse’ effect are related to firm size in that the ‘traditional’ weekend effect tends to be associated with small firms while the ‘reverse’ weekend effect tends to be associated with large firms. In addition, we find that during the period in which the ‘reverse’ weekend effect is observed, Monday returns for large firms tend to follow previous Friday returns when previous Friday returns are positive, but they do not follow the previous Friday returns when Friday returns are negative. Furthermore, we find that during the period in which the ‘reverse’ weekend effect is observed, Monday returns are positively related to the volume of medium‐size and block transactions, but negatively related to the volume of odd‐lot transactions.

Suggested Citation

  • 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, September.
    • Handle: RePEc:bla:jbfnac:v:32:y:2005:i:7-8:p:1495-1517
    DOI: 10.1111/j.0306-686X.2005.00637.x
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