Behavioural Finance > Calendar Effects >

Weekend Effect

The weekend effect (also known as the Monday effect, the day-of-the-week effect or the Monday seasonal) refers to the tendency of stocks to exhibit relatively large returns on Fridays compared to those on Mondays. This is a particularly puzzling anomaly because, as Monday returns span three days, if anything, one would expect returns on a Monday to be higher than returns for other days of the week due to the longer period and the greater risk.

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French (1980)


  • HAWAWINI, G. and D.B. KEIM, 1995. On the predictability of common stock returns: World-wide evidence. In: Handbooks in Operations Research and Management Science, Volume 9, Finance, pages 497-544. [Cited by 58] (4.06/year)
    Abstract: "Recent empirical findings suggest that equity returns are predictable. These findings document persistent cross- sectional and time series patterns in returns that are not predicted by extant theory, and are, therefore, often classified as anomalies. In this paper we synthesize the evidence on predictable returns, focusing on the subset of the findings whose existence has proved most robust with respect to both time and the number of stock markets in which they have been observed."

  • SCHWERT, G. William, 2002. Anomalies and Market Efficiency, Handbook of the Economics of Finance, pages 937-972. [Cited by 78] (18.18/year)

  • FRENCH, Kenneth R., 1980. Stock Returns and the Weekend Effect, Journal of Financial Economics, Volume 8, Issue 1, March 1980, Pages 55-69. [Cited by 310] (11.79/year)
    Abstract: "This paper examines two alternative models of the process generating stock returns. Under the calendar time hypothesis, the process operates continuously and the expected return for Monday is three times the expected return for other days of the week. Under the trading time hypothesis, returns are generated only during active trading and the expected return is the same for each day of the week. During most of the period studied, from 1953 through 1977, the daily returns to the Standard and Poor's composite portfolio are inconsistent with both models. Although the average return for the other four days of the week was positive, the average for Monday was significantly negative during each of five-year subperiods."

  • RUBINSTEIN, M., 2001. Rational Markets: Yes or No? The Affirmative Case, Financial Analysts Journal, volume 57, number 3 (May/June), pages 15-29. [Cited by 71] (11.29/year)
    Abstract: "With the recent flurry of articles declaiming the death of the rational market hypothesis, it is well to pause and recall the very sound reasons this hypothesis was once so widely accepted, at least in academic circles. Although academic models often assume that all investors are rational, this assumption is clearly an expository device not to be taken seriously. What is in contention is whether markets are “rational” in the sense that prices are set as if all investors are rational. Even if markets are not rational in this sense, abnormal profit opportunities still may not exist. In that case, markets may be said to be “minimally rational.” I maintain that not only are developed financial markets minimally rational, they are, with two qualifications, rational. I contend that, realistically, market rationality needs to be defined so as to allow investors to be uncertain about the characteristics of other investors in the market. I also argue that investor irrationality, to the extent that it affects prices, is particularly likely to be manifest through overconfidence, which in turn, is likely to make the market “hyper-rational.” To illustrate, the article reexamines some of the most serious historical evidence against market rationality."

  • HARRIS, Lawrence, 1986. A transaction data study of weekly and intradaily patterns in stock returns, Journal of Financial Economics, Volume 16, Issue 1 , May 1986, Pages 99-117. [Cited by 184] (9.07/year)
    Abstract: "Weekly and intradaily patterns in common stock prices are examined using transaction data. For large firms, negative Monday close-to-close returns accrue between the Friday close and the Monday open; for smaller firms they accrue primarily during the Monday trading day. For all firms, significant weekday differences in intraday returns accrue during the first 45 minutes after the market opens. On Monday mornings, prices drop, while on the other weekday mornings, they rise. Otherwise the pattern of intraday returns is similar on all weekdays. Most notable is an increase in prices on the last trade of the day."

  • LAKONISHOK, Josef and Seymour SMIDT, 1988. Are seasonal anomalies real? A ninety-year perspective, The Review of Financial Studies, Vol. 1, No. 4. (Winter, 1988), pp. 403-425. [Cited by 161] (8.80/year)
    Abstract: "This study uses 90 years of daily data on the Dow Jones Industrial Average to test for the existence of persistent seasonal patterns in the rates of return. Methodological issues regarding seasonality tests are considered. We find evidence of persistently anomalous returns around the turn of the week, around the turn of the month, around the turn of the year, and around holidays."

  • GIBBONS, Michael R. and Patrick HESS, 1981. Day of the Week Effects and Asset Returns, The Journal of Business, Vol. 54, No. 4. (Oct., 1981), pp. 579-596. [Cited by 176] (6.96/year)
    Abstract: "A traditional distributional assumption regarding the returns on a financial asset specifies that the expected returns are identical for all days of the week. Contrary to this plausible assumption, this paper discovers that the expected returns on common stocks and treasury bills are not constant across days of the week. The most notable evidence is for Monday's returns where the mean is unusually low or even negative. Several explanations of the results are investigated, but none proves satisfactory. Aside from documenting significant day of the week effects, the implications of the results for tests of market efficiency are examined. While market-adjusted returns continue to exhibit day of the week effects, these effects are no longer concentrated on Monday."

  • KEIM, Donald B. and Robert F. STAMBAUGH, 1984. A Further Investigation of the Weekend Effect in Stock Returns, The Journal of Finance, Vol. 39, No. 3, Papers and Proceedings, Forty-Second Annual Meeting, American Finance Association, San Francisco, CA, December 28-30, 1983. (Jul., 1984), pp. 819-835. [Cited by 146] (6.55/year)
    Abstract: "This study uses a longer time period and additional stocks to further investigate the weekend effect. We find consistently negative Monday returns (1) for the S & P Composite as early as 1928, (2) for Exchange-traded stocks of firms of all sizes, and (3) for actively traded over-the-counter (OTC) stocks. The OTC results are based on bid prices and therefore appear to reject specialist-related explanations. For the 30 individual stocks of the Dow Jones Industrial Index, the average correlation between Friday and Monday returns is positive and the highest of all pairs of successive days. The latter finding is inconsistent with fairly general measurement-error explanations."

  • AGRAWAL, Anup and Kishore TANDON, 1994. Anomalies or illusions? Evidence from stock markets in eighteen countries, Journal of International Money and Finance, Volume 13, Issue 1, February 1994, Pages 83-106. [Cited by 75] (6.10/year)
    Abstract: "This paper examines five seasonal patterns in stock markets of eighteen countries: the weekend, turn-of-the-month, end-of-December, monthly and Friday-the-thirteenth effects. We find a daily seasonal in nearly all the countries, but a weekend effect in only nine countries. Interestingly, the daily seasonal largely disappears in the 1980s. The last trading day of the month has large returns and low variance in most countries. Many countries have large December pre-holiday and inter-holiday returns. The January returns are large in most countries and a significant monthly seasonal exists in ten countries."

  • ABRAHAM, Abraham and David L. IKENBERRY, 1994. The Individual Investor and the Weekend Effect, The Journal of Financial and Quantitative Analysis, Vol. 29, No. 2. (Jun., 1994), pp. 263-277. [Cited by 71] (5.78/year)
    Abstract: "It is well known that stock returns, on average, are negative on Mondays. Yet, it is less well known that this finding is substantially the consequence of returns in prior trading sessions. When Friday's return is negative, Monday's return is negative nearly 80 percent of the time with a mean return of -0.61 percent. When Friday's return is positive, the subsequent Monday's mean return is positive, 0.11 percent. This relationship is stronger than for any other pair of trading days and is most acute in small- and medium-size companies. The trading behavior of individual investors appears to be at least one factor contributing to this pattern. Individual investors are more active sellers of stock on Mondays, particularly following bad news in the market."

  • LAKONISHOK, Josef and Edwin MABERLY, 1990. The Weekend Effect: Trading Patterns of Individual and Institutional Investors, The Journal of Finance, Vol. 45, No. 1. (Mar., 1990), pp. 231-243. [Cited by 94] (5.77/year)
    Abstract: "In this paper, we document regularities in trading patterns of individual and institutional investors related to the day of the week. We find a relative increase in trading activity by individuals on Mondays. In addition, there is a tendency for individuals to increase the number of sell transactions relative to buy transactions, which might explain at least part of the weekend effect."

  • CONNOLLY, Robert A., 1989. An Examination of the Robustness of the Weekend Effect, The Journal of Financial and Quantitative Analysis, Vol. 24, No. 2. (Jun., 1989), pp. 133-169. [Cited by 98] (5.67/year)
    Abstract: "This paper analyzes the robustness of the day-of-the-week (DOW) and weekend effects to alternative estimation and testing procedures. The results show that sample size can distort the interpretation of classical test statistics unless the significance level is adjusted downward. Specification tests reveal widespread departures from OLS assumptions. Hypothesis tests results are reported using robust econometric methods and a GARCH model. The strength of the DOW and weekend effect evidence appears to depend on the estimation and testing method. Both effects seem to have disappeared by 1975."

  • STEELEY, James M., 2001. A note on information seasonality and the disappearance of the weekend effect in the UK stock market, Journal of Banking and Finance, Volume 25, Issue 10, October 2001, Pages 1941-1956. [Cited by 27] (5.11/year)
    Abstract: "The weekend effect in UK stock prices has disappeared in the 1990s. Beneath the surface however there remain systematic day-of-the-week effects only visible when returns are partitioned by the direction of the market. A systematic pattern of market-wide news arrivals into the UK stock market is discovered and found to provide an explanation for these day-of-the-week effects."

  • SULLIVAN, Ryan, Allan TIMMERMANN and Halbert WHITE, 2001. Dangers of data mining: the case of calendar effects in stock returns, Journal of Econometrics, Volume 105, Issue 1, November 2001, Pages 249-286. [Cited by 41] (4.95/year)
    Abstract: "Economics is primarily a non-experimental science. Typically, we cannot generate new data sets on which to test hypotheses independently of the data that may have led to a particular theory. The common practice of using the same data set to formulate and test hypotheses introduces data-mining biases that, if not accounted for, invalidate the assumptions underlying classical statistical inference. A striking example of a data-driven discovery is the presence of calendar effects in stock returns. There appears to be very substantial evidence of systematic abnormal stock returns related to the day of the week, the week of the month, the month of the year, the turn of the month, holidays, and so forth. However, this evidence has largely been considered without accounting for the intensive search preceding it. In this paper we use 100 years of daily data and a new bootstrap procedure that allows us to explicitly measure the distortions in statistical inference induced by data mining. We find that although nominal p-values for individual calendar rules are extremely significant, once evaluated in the context of the full universe from which such rules were drawn, calendar effects no longer remain significant."

  • JAFFE, Jeffrey and Randolph WESTERFIELD, 1985. The Week-End Effect in Common Stock Returns: The International Evidence, The Journal of Finance, Vol. 40, No. 2. (Jun., 1985), pp. 433-454. [Cited by 100] (4.70/year)
    Abstract: "This 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 seasonal patterns in foreign stock markets independent of those previously reported in the U.S.? Do Japan and Australia exhibit a seasonal one day out of phase due to different time zones? Do settlement procedures across countries bias week-end effects? Does the seasonal pattern in foreign exchange offset the week-end effect in stocks for Americans investing overseas?"

  • WANG, Ko, Yuming LI and John ERICKSON, 1997. A New Look at the Monday Effect, The Journal of Finance, Vol. 52, No. 5. (Dec., 1997), pp. 2171-2186. [Cited by 43] (4.63/year)
    Abstract: "It is well documented that expected stock returns vary with the day-of-the-week (the Monday or weekend effect). In this article we show that the well-known Monday effect occurs primarily in the last two weeks (fourth and fifth weeks) of the month. In addition, the mean Monday return of the first three weeks of the month is not significantly different from zero. This result holds for most of the subperiods during the 1962-1993 sampling period and for various stock return indexes. The monthly effect reported by Ariel (1987) and Lakonishok and Smidt (1988) cannot fully explain this phenomenon."

  • KAMARA, Avraham, 1997. New Evidence on the Monday Seasonal in Stock Returns, The Journal of Business, Vol. 70, No. 1. (Jan., 1997), pp. 63-84. [Cited by 41] (4.41/year)
    Abstract: "Equity derivatives and the institutionalization of equity markets affect the Monday seasonal. The seasonal in the Standard and Poor's 500 (S&P) declines significantly over 1962-93. This decline is positively related to the ratio of institutional to individual trading volume. In contrast, the seasonal for small stocks does not decline and is unaffected by institutional versus individual trading. Higher trading costs sustain the seasonal in small stock, and unlike the S&P, theses costs are not lower for institutions than for individuals. Futures minus spot S&P returns exhibit a reverse seasonal. Informed traders use the less costly market to exploit the seasonal."

  • CHEN, Honghui and Vijay SINGAL, 2003. Role of Speculative Short Sales in Price Formation: The Case of the Weekend Effect, The Journal of Finance, Volume 58, Number 2, April 2003, pp. 685-706. [Cited by 14] (4.26/year)
    Abstract: "We argue that short sellers affect prices in a significant and systematic manner. In particular, we contend that speculative short sales contribute to the weekend effect: The inability to trade over the weekend is likely to cause these short sellers to close their speculative positions on Fridays and reestablish new short positions on Mondays causing stock prices to rise on Fridays and fall on Mondays. We find evidence in support of this hypothesis based on a comparison of high short-interest stocks and low short-interest stocks, stocks with and without actively traded options, IPOs, zero short-interest stocks, and highly volatile stocks."

  • CHAN, Su Han, Wai-Kin LEUNG and Ko WANG, 2004. The Impact of Institutional Investors on the Monday Seasonal, The Journal of Business, Volume 77, Number 4 (October 2004), pages 967-986. [Cited by 9] (3.93/year)
    Abstract: "It is well documented that the mean Monday return is significantly negative and is lower than the mean return on other weekdays. Using institutional stock holdings information during the 1981–1998 period, we document that the Monday seasonal is stronger in stocks with low institutional holdings and that the Monday return is not significantly different from the mean Tuesday to Friday returns for stocks with high institutional holdings during the 1990–1998 period. Our study provides direct evidence to support the belief that the Monday seasonal may be related to the trading activities of less sophisticated individual investors."

  • LAKONISHOK, Josef and Maurice LEVI, 1982. Weekend Effects on Stock Returns: A Note, The Journal of Finance, Vol. 37, No. 3. (Jun., 1982), pp. 883-889. [Cited by 92] (3.79/year)
    "SOME RESEARCHERS HAVE APPARENTLY been surprised to discover that the distribution of stock returns depends on the day of the week.1 Kenneth French [3], for example, in testing whether daily stock returns are generated by a trading time or calendar time hypothesis, provided convincing evidence of a negative market return on Mondays. As French carefully notes, this finding runs counter to both hypotheses, since a trading time view would have expected stock returns equal on different days, and a calendar time view would have higher expected returns on Monday to compensate for the longer holding period.
    In this paper we offer a partial explanation for the apparently puzzling discovery of different daily returns. We argue that the expected stock returns as measured, for example, from closing prices, should depend on the day of the week. In general, we argue that the expected returns on Mondays should be lower than would be implied simply by a trading time or calendar time model, and the returns on Fridays should be higher. In addition, we anticipate that holidays will have complex effects on stock returns on other days of the week. Our argument is based on the delay between trading and settlements in stocks and in clearing checks. The explanation that we offer for different measured daily returns does not contradict the efficient market hypothesis, as correctly adjusted expected returns should not differ according to the day of the week."

  • ROGALSKI, Richard J., 1984. New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note, The Journal of Finance, Vol. 39, No. 5. (Dec., 1984), pp. 1603-1614. [Cited by 82] (3.68/year)
    Abstract: "This paper decomposes daily close to close returns into trading day and non-trading day returns. We discover that all of the average negative returns from Friday close to Monday close documented in the literature for stock market indexes occurs during the non-trading period from Friday close to Monday open. In addition, average trading day returns (open to close) are identical for all days of the week. January/firm size/turn-of-the-year anomalies are shown to be interrelated with day-of-the-week returns."

  • DUBOIS, M. and P. LOUVET, 1996. The day-of-the-week effect: the international evidence, Journal of Banking and Finance, Volume 20, Issue 9, November 1996, Pages 1463-1484. [Cited by 35] (3.40/year)
    Abstract: "We re-examine the day-of-the-week effect for eleven indexes from nine countries during the 1969–1992 period. The standard methodology as well as the moving average methodology are used and we find returns to be lower at the beginning of the week (but not necessarily on Monday) for the full period. As in Chang et al. (International evidence on the robustness of the day-of-the-week effect, Journal of Financial and Quantitative Analysis 28 (1993), 497–514), the anomaly disappears for the most recent period in the USA. However, the effect is still strong for European countries, Hong-Kong and Toronto."

  • \citeasnoun{}
  • AGGARWAL, Reena and Pietra RIVOLI, 1989. Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets, The Financial Review, Vol. 24, Issue 4 (November 1989), Pages 541-550. [Cited by 54] (3.12/year)
    The “January effect” and the “weekend effect” have proven to be persistent anomalies in U.S. equity markets. The objective of this paper is to examine seasonal and daily patterns in equity returns of four emerging markets: Hong Kong, Singapore, Malaysia, and the Philippines. These markets are gaining importance with the globalization of business; therefore, it is necessary to examine the efficiency and functioning of these capital markets. Our analysis uses daily data for the 12 years from September 1, 1976, to June 30, 1988. The results support the existence of a seasonal pattern in these markets. Returns in the month of January are higher than any other month for all markets examined except the Philippines. A robust day-of-the-week effect is also found. These markets exhibit a weekend effect of their own in the form of low Monday returns. In addition, there exists a strong “Tuesday effect,” which may be related to the + 13 hour time difference between New York and these emerging markets."

  • ARSAD, Zainudin and J. Andrew COUTTS. 1997. Security price anomalies in the London International Stock Exchange: a 60 year perspective, Applied Financial Economics, Volume 7, Number 5, 1 October 1997, pp. 455-464. [Cited by 29] (3.12/year)
    Abstract: "This paper investigates the existence of security price anomalies, or ‘calendar effects’ in the Financial Times Industrial Ordinary Shares Index over a 60 year period: 1 July 1935 through 31 December 1994. Our results broadly support similar evidence documented for many countries concerning stock market anomalies, as the weekend, January and holiday effects all appear, to some extent, to be present in our data set. We conclude, that even if these anomalies are persistent in their occurrence and magnitude, the cost of implementing any potential ‘trading rules’ may be prohibitive due to the illiquidity of the market and ‘round trip’ transactions costs. This is of course perfectly consistent with the notion of market efficiency, in that no strategy exists that will consistently yield abnormal returns."

  • SIAS, Richard W. and Laura T. STARKS, 1995. The Day-of-the-Week Anomaly: The Role of Institutional Investors, Financial Analysts Journal, May/June 1995, Vol. 51, No. 3: pp. 58-67. [Cited by 33] (2.92/year)

  • CHOUDHRY, T., 2000. Day of the week effect in emerging Asian stock markets: evidence from the GARCH model, Applied Financial Economics, Volume 10, Number 3, 1 June 2000, pp. 235-242. [Cited by 18] (2.86/year)
    Abstract: "This paper investigates the day of the week effect on seven emerging Asian stock markets returns and conditional variance (volatility). The empirical research was conducted using the GARCH model and daily returns from India, Indonesia, Malaysia, Philippines, South Korea, Taiwan, and Thailand from January 1990 to June 1995. Results obtained indicate the significant presence of the day of the week effect on both stock returns and volatility, though the result involving both the return and volatility are not identical in all seven cases. Results also show that these effects may be due to a possible spill-over from the Japanese stock market."

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  • CHEN…, G., 2001. The day-of-the-week regularity in the stock markets of China. Journal of Multinational Financial Management. [Cited by 15] (2.84/year)

  • CHANG, Eric C., J. Michael PINEGAR and R. RAVICHANDRAN, 1993. International Evidence on the Robustness of the Day-of-the-Week Effect, The Journal of Financial and Quantitative Analysis, Vol. 28, No. 4. (Dec., 1993), pp. 497-513. [Cited by 37] (2.78/year)
    Abstract: "Consistent with Connolly's (1989), (1991) evidence, this study finds that sample size and/or error term adjustments render U.S. day-of-the-week effects statistically insignificant. In contrast, day-of-the-week effects in seven European countries and in Canada and Hong Kong are robust to individual sample size or error term adjustments, and day-of-the-week effects in five European countries survive the simultaneous imposition of both types of adjustments. In most countries where day-of-the-week effects are robust, however, the effects are statistically significant in not more than two weeks out of the month. These findings are inconsistent with explanations of the day-of-the-week effect based on institutional differences or on the arrival of new information. Thus, in the absence of other potential explanations already dismissed by Jaffe and Westerfield (1985), evidence in this study further complicates the international day-of-the-week effect puzzle."

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  • MEHDIAN, Seyed and Mark J. PERRY, 2001. The Reversal of the Monday Effect: New Evidence from US Equity Markets, Journal of Business Finance & Accounting, Volume 28, Numbers 7-8, September/October 2001, pp. 1043-1065. [Cited by 14] (2.65/year)
    Abstract: "This article re-examines the Monday effect in the US stock market from 1964-1999 using daily returns from three large-cap indexes and two small-cap indexes. In the period before 1987, Monday returns are significantly negative in all five US stock indexes, confirming previous empirical findings. In the post-1987 period, we uncover a significant reversal of the Monday effect in the large-cap indexes (NYSE, S&P500 and DJCOMP), since Monday returns are significantly positive. Furthermore, significant differences in the persistence and reversal of the Monday effect are found between large-cap and small-cap stock indexes."

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  • BALABAN, Ercan, 1995. Day of the week effects: new evidence from an emerging stock market, Applied Economics Letters, Volume 2, Number 5, 1 May 1995, pp. 139-143. [Cited by 29] (2.57/year)
    Abstract: "The primary objective is to investigate day of the week effects in an emerging stock market of a developing country, namely Turkey. Empirical results verify that although day of the week effects are present in Istanbul Securities Exchange Composite Index (ISECI) return data for the period January 1988 to August 1994, these effects change in direction and magnitude through time."

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