The Chen and Singal hypothesis explains the weekend effect
as a result of order imbalance caused by short sellers and explains the demise of the weekend effect
as resulting from the end of the trading imbalance.
The Individual Investor and the Weekend Effect
, The Journal of Financial and Quantitative Analysis 29(2): 263-277.
Researchers have also found that there is a day-of-the-week or weekend effect
on stock returns in both the most developed markets and in some emerging markets.
The list of major anomalies in stock returns corresponds to the size/January effect, the monthly effect, the weekend effect
The researchers wrote: 'The current study of a large national data set has confirmed that the weekend effect
in Sids is real, that it has persisted, and that it is predominantly due to an increase in Sunday reported deaths.' A spokesman for the Foundation for the Study of Infant Deaths said: 'Until more is known about why these tragedies occur -through improved investigation of each death and through more basic research into causation -it is not possible to know for certain why babies are more likely to die at weekends.
The first was the number of admissions that did not involve drugs or alcohol; second was the possible weekend effect
alluded to earlier; and third was autocorrelation, which includes trends, cycles, and the tendency to remain elevated or depressed after high or low values, in the dependent variable.
A possible explanation of the weekend effect
. Financial Analysts Journal 44(May/June), 83-84.
(1980) Stock Returns and Weekend Effect
. Journal of Financial Economics.
The results show that overall outcomes for elderly surgical patients are improving, but that elderly patients are becoming more frail and that the weekend effect
is present when operations are undertaken on Saturdays and Sundays.
The findings, published in the British Medical Journal (BMJ), will feed into the row over the "weekend effect
", relating to research that suggests worse outcomes for patients admitted to hospitals at weekends.
A further investigation of the weekend effect
in stock returns, Journal of Finance, July, 39(3), 819-835.
The individual investor and the weekend effect
. Journal of Financial and Quantitative Analysis, (June), 263-277.