The Reversing Weekend Effect: Evidence from the U.S. Equity Markets

Anthony Yanxiang Gu

Review of Quantitative Finance and Accounting, 2004, vol. 22, issue 1, 5-14

Abstract: The well-known weekend effect has been reversing in Major U.S. indices from late 1980s to late 1990s. The correlation between Monday and Friday returns also exhibited a declining trend, and fluctuated around zero in the 1990s. A power ratio method is developed to measure consistently the relative contribution of Friday and Monday returns to the return of the week in each individual year. The revealed dynamics of the anomaly explains why previous researchers report different or conflicting findings. The anomaly may not be necessarily related to firm size. Copyright Kluwer Academic Publishers 2004

Keywords: weekend effect; anomaly; reverse (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1023/B:REQU.0000006183.42549.50

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