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What causes intra-week regularities in stock returns? Some evidence from the UK

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  • David Bell
  • Eric Levin

Abstract

The calendar anomaly associated with negative stock returns over the weekend is investigated. It is argued that such effects may be caused by a number of institutional features. Using Datastream's daily stock returns index for the UK over the period 1980-1993, it is shown that after allowing for three institutional factors there is no residual weekend anomaly to be explained. These factors are: (i) financing discontinuities associated with the account settlement period; (ii) the relative scarcity of funds while finance is held in banks suspense and transmission accounts on Settlement Day; and (iii) firms reluctance to hold money during non-trading periods.

Suggested Citation

  • David Bell & Eric Levin, 1998. "What causes intra-week regularities in stock returns? Some evidence from the UK," Applied Financial Economics, Taylor & Francis Journals, vol. 8(4), pages 353-357.
    • Handle: RePEc:taf:apfiec:v:8:y:1998:i:4:p:353-357
    DOI: 10.1080/096031098332880
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    Cited by:

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    2. Brian Lucey & Edel Tully, 2005. "Seasonality, Risk And Return In Daily COMEX Gold And Silver Data 1982-2002," The Institute for International Integration Studies Discussion Paper Series iiisdp057, IIIS.
    3. Ramona Dumitriu & Razvan Stefanescu, 2010. "Changes in the dow effects in the romanian foreign exchange market," Manager Journal, Faculty of Business and Administration, University of Bucharest, vol. 11(1), pages 163-179, May.
    4. Luo, Kevin & Tian, Shuairu, 2020. "The “Black Thursday” effect in Chinese stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    5. Yeliz Yalcin & Eray M. Yycel, 2006. "The Day-of-the-Week Effect on Stock-Market Volatility and Return: Evidence from Emerging Markets (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(5-6), pages 258-277, May.

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