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An investigation of the weekend effect during different market orientations

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  • Denis Boudreaux
  • Spuma Rao
  • Phillip Fuller

Abstract

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  • Denis Boudreaux & Spuma Rao & Phillip Fuller, 2010. "An investigation of the weekend effect during different market orientations," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(3), pages 257-268, July.
    • Handle: RePEc:spr:jecfin:v:34:y:2010:i:3:p:257-268
    DOI: 10.1007/s12197-008-9050-6
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    References listed on IDEAS

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    1. Abraham, Abraham & Ikenberry, David L., 1994. "The Individual Investor and the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(2), pages 263-277, June.
    2. Honghui Chen & Vijay Singal, 2003. "Role of Speculative Short Sales in Price Formation: The Case of the Weekend Effect," Journal of Finance, American Finance Association, vol. 58(2), pages 685-705, April.
    3. repec:bla:jfinan:v:43:y:1988:i:3:p:701-17 is not listed on IDEAS
    4. 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.
    5. 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.
    6. Stephen Keef & Melvin Roush, 2005. "Day-of-the-week effects in the pre-holiday returns of the Standard & Poor's 500 stock index," Applied Financial Economics, Taylor & Francis Journals, vol. 15(2), pages 107-119.
    7. William Compton & Robert Kunkel, 2000. "Tax-free trading on calendar stock and bond market patterns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 24(1), pages 64-76, March.
    8. Maheu, John M & McCurdy, Thomas H, 2000. "Identifying Bull and Bear Markets in Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 100-112, January.
    9. Theissen, Erik, 2005. "An analysis of private investors' stock market return forecasts," CFR Working Papers 05-16, University of Cologne, Centre for Financial Research (CFR).
    10. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    11. Jorge Brusa & Pu Liu & Craig Schulman, 2000. "The Weekend Effect, 'Reverse' Weekend Effect, and Firm Size," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(5&6), pages 555-574.
    12. repec:bla:jfinan:v:58:y:2003:i:2:p:685-706 is not listed on IDEAS
    13. Anthony Gu, 2004. "The Reversing Weekend Effect: Evidence from the U.S. Equity Markets," Review of Quantitative Finance and Accounting, Springer, vol. 22(1), pages 5-14, January.
    14. Connolly, Robert A., 1989. "An Examination of the Robustness of the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(2), pages 133-169, June.
    15. Brooks, Raymond M. & Kim, Hongshik, 1997. "The individual investor and the weekend effect: A reexamination with intraday data," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(3), pages 725-737.
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    Cited by:

    1. Shikta Singh & Chandrabhanu Das, 2020. "Calendar Anomalies in the Banking and it Index: The Indian Experience," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(4), pages 439-448, April.

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    More about this item

    Keywords

    Weekend Effect; Efficient Markets; NASDAQ; DJIA; S&P500 Market Performance in Bear and Non-Bear Markets; G1;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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