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Comment on “Why a Weekend Effect?”

In: Calendar Anomalies And Arbitrage

Author

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  • William T. Ziemba

    (University of British Columbia in Vancouver, B.C. (Canada, V6T IY8), Canada)

Abstract

The weekend effect in U.S. security markets has been documented by French (1980), Gibbons and Hess (1981), and others. Miller (1988) argues that the effect could be explained by a tendency for self-initiated sell orders to exceed self-initiated buy orders over the weekend, while broker-initiated buy trades result in a surplus of buying during the remainder of the week…

Suggested Citation

  • William T. Ziemba, 2012. "Comment on “Why a Weekend Effect?”," World Scientific Book Chapters, in: Calendar Anomalies And Arbitrage, chapter 14, pages 343-354, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814405461_0014
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