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Weekend Effect

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Weekend effect
The common recurrent low or negative average return from Friday to Monday in the stock market.
Monday Effect
The belief that securities market returns on Mondays are less than the other days of the week, and are often negative on average. This effect has been observed in both American and foreign exchanges. Studies have documented it since the 1920s, but no theory has adequately explained the reasons it exists. Studies have suggested the existence of a Monday effect for a diverse range of securities, from equities to debt to commodities. However, since the mid-1970s or mid-1980s (depending on the study and methodology), large firm securities seem to have exhibited what might be called a 'reverse Monday effect,' in which differences between Monday trading and the rest of the week are not statistically significant. Small firm securities have continued to exhibit the Monday effect. It is also known as the "weekend effect."
weekend effect
The tendency of securities to perform better on Fridays than on Mondays. Some technical analysts contend the weekend effect is primarily the result of the Monday auctions of U.S. Treasury securities.
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Chen and Singal hypothesize that the behavior of speculative short sellers adds to the weekend effect because of added selling pressure on Monday, and that the closing of short positions on Friday and the reopening of these positions on the following Monday may partially explain the weekend effect.
Short selling and the weekend effect for NYSE securities by Blau, Benjamin M.; Van Ness, Bonnie F.; Van Ness, Robert A. / Financial Management
This leads to the observation of daily seasonality in asset returns also known as the weekend effect and days-of-the-week effect.
Econometric modeling of time-varying conditional hetroscedasticity ... by Pati, Pratap Chandra / Indian Journal of Economics and Business
The day-of-the week effect, first documented by Osborne (1962); the weekend effect (significantly lower returns over the period between Friday's close and Monday's close), first documented by French (1980); the January effect (relatively higher returns in January), first reported by Wachtel (1942); the trading month effect studied by Ariel (1987); and the holiday effect documented by Lakonishok and Smidt (1988), are among the most important calendar effects.
Calendar corrected chaotic forecast of financial time series by Leontitsis, Alexandros; Siriopoulos, Costas / International Journal of Business
 
 
 
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