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Information processing and the UK weekend effect: do investors cut their losses on Mondays?

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  • James Steeley

Abstract

This paper complements earlier work by the author that shows that the pattern of information arrivals into the UK stock market may explain the behaviour of returns. It is argued that delays or other systematic behaviour in the processing of this information could compound the impact of information arrival patterns. It is found, however, that this does not happen, and so it is the arrival and not the processing of news that is most important.

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  • James Steeley, 2004. "Information processing and the UK weekend effect: do investors cut their losses on Mondays?," Applied Economics Letters, Taylor & Francis Journals, vol. 11(14), pages 895-899.
    • Handle: RePEc:taf:apeclt:v:11:y:2004:i:14:p:895-899
    DOI: 10.1080/1350485042000263890
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    References listed on IDEAS

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    Cited by:

    1. Brian Lucey & Edel Tully, 2006. "Seasonality, risk and return in daily COMEX gold and silver data 1982-2002," Applied Financial Economics, Taylor & Francis Journals, vol. 16(4), pages 319-333.

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