INTERNATIONAL EVIDENCE ON WEEKEND ANOMALIES

Wilson H.S. Tong

65 citations0/0 files storedThe Journal of Financial Research

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

Abstract

Abstract Recent studies on the U.S. market find that the Monday effect is observed mainly when the return on the previous Friday is negative or when the Monday falls within the last two weeks of the month. I look for international evidence and examine whether such properties of the Monday effect are related to another anomalous phenomenon—high weekend correlation. By examining twenty‐three equity market indexes, I find that the negative Friday is, in general, important to the Monday effect. Furthermore, Monday returns tend to be lowest on the fourth week of the month. Although high weekend correlation is also common to these markets, it seems not related to the bad‐Friday factor and shows no seasonality across weeks of the month. JEL classification: G15, G10.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 65 citations exist upstream.

References

1980Stock returns and the weekend effect 1984A Further Investigation of the Weekend Effect in Stock Returns 1973The Behavior of Stock Prices on Fridays and Mondays 1985The Week-End Effect in Common Stock Returns: The International Evidence 1990The Weekend Effect: Trading Patterns of Individual and Institutional Investors 1994The Individual Investor and the Weekend Effect 1997A New Look at the Monday Effect 1989A twist on the Monday effect in stock prices

Cited by

2005Seasonality in the Asia Pacific stock markets 2012The day-of-the-week effect revisited: international evidence 2012Psychological factors on irrational financial decision making 2010Are investors moonstruck? Further international evidence on lunar phases and stock returns 2003The Reversing Weekend Effect: Evidence from the U.S. Equity Markets 2014Does Mood Explain the Monday Effect?

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.