An Anlaysis of the Weekend Effect within the Monthly Effect

Kartono Liano and James T Lindley

Review of Quantitative Finance and Accounting, 1995, vol. 5, issue 4, 419-26

Abstract: This study analyzes the weekend effect in the first half and the second half of the month and finds a weekend effect: Friday's returns are significantly greater than Monday's returns. However, the spread between Monday's and Friday's returns shifts between the first half and the second half of the month. Consequently, a plausible explanation for the weekend effect should consider the shifting of Monday-Friday returns across the month. In addition, the 1982-92 period does not exhibit a monthly effect or a weekend effect for the value-weighted index. Copyright 1995 by Kluwer Academic Publishers

Date: 1995
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