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The Week-End Effect in Common Stock Returns: The International Evidence

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  • Jeffrey Jaffe
  • R. Westerfield

Abstract

Our paper examines the daily stock market returns for four foreign countries. We find a so-called "week-end effect" in each country. In addition, the lowest mean returns for the Japanese and Australian stock markets occur on Tuesday. The remainder of the paper answers four questions. Are seasonals in foreign stock markets independent of the previously reported seasonal in the U.S.? Due to different time zones, do Japan and Australia exhibit a seasonal one day out of phase? Do settlement procedures across countries impact week-end effects? Does the seasonal in foreign exchange offset the week-end effect in stocks for Americans investing overseas?

Suggested Citation

  • Jeffrey Jaffe & R. Westerfield, "undated". "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers 3-85, Wharton School Rodney L. White Center for Financial Research.
    • Handle: RePEc:fth:pennfi:3-85
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