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Analysis of the Weekend Effect on the Markets of 121 Equity Indices and 29 Commodities

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  • Krzysztof Borowski

    (Warsaw School of Economics, Poland)

Abstract

The problem of efficiency of financial markets, especially the weekend effect has always fascinated scientists. The issue is significant from the point of view of assessing the portfolio management effectiveness and behavioral finance. This paper tests the hypothesis of weekend effects of the market of 121 equity indices and 29 commodities with the following four approaches: Friday close – Monday open, Friday close – Monday close, Friday close – Tuesday open and Friday close – Tuesday close prices. Calculations presented in this paper indicate the presence of the monthly effect in the following cases: 36 (I approach), 58 (II approach), 57 (III approach) and 66 (IV approach).

Suggested Citation

  • 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.
    • Handle: RePEc:ejn:ejbmjr:v:3:y:2015:i:4:p:23-35
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    References listed on IDEAS

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    2. Sedeaq Nassar, 2016. "The Day of the Week Effect of Stock Returns: Empirical Evidence from Five Selected Arab Countries," Eurasian Journal of Business and Management, Eurasian Publications, vol. 4(2), pages 55-64.

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