weekend effect

Weekend effect

The common recurrent low or negative average return from Friday to Monday in the stock market.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.

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."
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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.
Wall Street Words: An A to Z Guide to Investment Terms for Today's Investor by David L. Scott. Copyright © 2003 by Houghton Mifflin Company. Published by Houghton Mifflin Company. All rights reserved. All rights reserved.
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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.
The list of major anomalies in stock returns corresponds to the size/January effect, the monthly effect, the weekend effect, etc.
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 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.