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An Anlaysis of the Weekend Effect within the Monthly Effect

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  • Liano, Kartono
  • Lindley, James T

Abstract

This study analyzes the weekend effect in the first half and the second half of the month and finds a weekend effect: Friday's returns are significantly greater than Monday's returns. However, the spread between Monday's and Friday's returns shifts between the first half and the second half of the month. Consequently, a plausible explanation for the weekend effect should consider the shifting of Monday-Friday returns across the month. In addition, the 1982-92 period does not exhibit a monthly effect or a weekend effect for the value-weighted index. Copyright 1995 by Kluwer Academic Publishers

Suggested Citation

  • Liano, Kartono & Lindley, James T, 1995. "An Anlaysis of the Weekend Effect within the Monthly Effect," Review of Quantitative Finance and Accounting, Springer, vol. 5(4), pages 419-426, December.
    • Handle: RePEc:kap:rqfnac:v:5:y:1995:i:4:p:419-26
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    Cited by:

    1. Rahele SiamiNamini & Fereydoun RahnamaRoudposhti & Mohammad.H Janani, 2013. "A Study to Examine Time-Varying Effectiveness of Stock Returns on Tehran Stock Exchange," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(2), pages 154-161, April.
    2. 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.

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