International evidence on weekend anomalies

Hin Sang Tong

Research output: Journal article publicationJournal articleAcademic researchpeer-review

35 Citations (Scopus)

Abstract

Recent studies on the U.S. market find that the Monday effect is observed mainly when the return on the previous Friday is negative or when the Monday falls within the last two weeks of the month. I look for international evidence and examine whether such properties of the Monday effect are related to another anomalous phenomenon—high weekend correlation. By examining twenty-three equity market indexes, I find that the negative Friday is, in general, important to the Monday effect. Furthermore, Monday returns tend to be lowest on the fourth week of the month. Although high weekend correlation is also common to these markets, it seems not related to the bad-Friday factor and shows no seasonality across weeks of the month. JEL classification: G15, G10.
Original languageEnglish
Pages (from-to)495-522
Number of pages28
JournalJournal of Financial Research
Volume23
Issue number4
DOIs
Publication statusPublished - 1 Jan 2000
Externally publishedYes

ASJC Scopus subject areas

  • Accounting
  • Finance

Cite this