What causes intra-week regularities in stock returns? Some evidence from the UK

David Bell and Eric Levin

Applied Financial Economics, 1998, vol. 8, issue 4, 353-357

Abstract: The calendar anomaly associated with negative stock returns over the weekend is investigated. It is argued that such effects may be caused by a number of institutional features. Using Datastream's daily stock returns index for the UK over the period 1980-1993, it is shown that after allowing for three institutional factors there is no residual weekend anomaly to be explained. These factors are: (i) financing discontinuities associated with the account settlement period; (ii) the relative scarcity of funds while finance is held in banks suspense and transmission accounts on Settlement Day; and (iii) firms reluctance to hold money during non-trading periods.

Date: 1998
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DOI: 10.1080/096031098332880

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