The Diminishing Weekend Effect: Experience of Five G7 Countries
Notice bibliographique
Résumé
ABSTRACT The well-known is diminishing in recent years as Monday returns exhibit an upward trend and turned positive while Friday returns became insignificant in major equity indices of Canada, France, Germany, Japan and United Kingdom. A power ratio method is developed to consistently measure the relative contribution of Friday and Monday returns to the return of the week in each individual year. The revealed dynamics of the anomaly explain why previous studies report different or conflicting results. There are evidences that challenge the existing literature on the size related to the anomaly. (ProQuest: ... denotes formulae omitted.) INTRODUCTION Numerous researchers have performed tests for the existence of seasonal anomalies or calendar effects in equity returns at the daily, weekly and monthly levels. Many of them have reported abnormally positive average Friday returns and significantly negative average Monday returns in the U. S. and international equity markets. Pioneer research on the so called weekend effect can be found in Cross (1973), French (1980), Gibbons and Hess (1981), Hindmarch (1984), Keim and Stambaugh (1984), and Jaffe and Westerfield (1985). Major studies for the anomaly in international equity markets include articles by Gultekin and Gultekin (1983), Theobald and Price (1984), Jaffe and Westerfield (1985), Jaffe, Westerfield and Ma (1989) and Dubois and Louvet (1996), and Tong (2000). The authors report negative average Monday returns in the international equity markets. Several researchers explore possible factors that contribute to the anomaly. Hindmarch (1984) suggests that institutional trades can partially explain the effect, and Sias and Starks (1995) believe that institutional traders are the primary drivers of the effect. Lakonishok and Maberly (1990) and Abraham and Ikenberry (1994) report that share price does worse on Mondays than on other days of the week in the US, because individual investors typically sell stocks on Monday. Branch (1974, 2001) suggested that the Monday may be related to weekly cycle in news releases and to weekly pattern in interest rate changes; and that both Mondays and merger announcements have a significant impact on stock market volatility. Branch and Echevarria (1991) indicate that the occurs mainly in stocks that do not go ex-dividend on Monday. Schatzberg and Datta (1 992) assert that some factor unrelated to information arrivals causes the effect, but Steeley (2001) suggests that a systematic pattern of market- wide news arrivals drives the anomaly in the UK stock market. Coutts and Hayes (1999) indicate that the is in part a stock exchange account settlement in major UK indices. Cross (1973) finds positive correlation between Monday and Friday returns. Abraham and Ikenbeny (1994) see the positive correlation between Monday and Friday returns as most acute in small-and medium-sized companies. Keim and Stambaugh (1984) report a strong relation between Friday returns and firm size. Other researchers report different findings. Cornell (1985) and Najand and Yung (1994) see no in the S&P 500 index futures: the seems to exist, they argue, because the returns are affected by conditional heteroskedasticity. Connolly (1989) points out that the disappears for some years and then reappears for others. Wang, Li, and Erickson (1997) find that the Monday occurs primarily in the last two weeks (the fourth and fifth weeks) of the month. For the UK stock market, Board and Sutcliffe (1988) see the significance of the anomaly decreasing over time, and Steeley (2001) notes that the disappeared in the 1990s. Sullivan, Timmermann and White (2001) assert that calendar effects, including day of the week effect, no longer remain significant in the context of 100 years of data as the full universe. Brusa, Liu, and Schulman (2000) find reverse in recent data for maj or stock indices: Monday returns are positive and significantly greater than the preceding Friday's. …
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| Catégorie | Codex | Gemma |
|---|---|---|
| Métarecherche | 0,002 | 0,002 |
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| Méta-épidémiologie (sens large) | 0,001 | 0,000 |
| Bibliométrie | 0,000 | 0,000 |
| Études des sciences et des technologies | 0,001 | 0,001 |
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| Science ouverte | 0,000 | 0,000 |
| Intégrité de la recherche | 0,000 | 0,000 |
| Charge utile insuffisante (le modèle a refusé de juger) | 0,000 | 0,000 |
Scores machine (provisoires)
Les deux têtes enseignantes du modèle étudiant, lues sur ce travail. Un score ordonne la base pour la relecture; il n'affirme jamais une catégorie, et le statut de validation accompagne chaque rangée tel quel.
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