International Evidence on Weekend Anomalies
Year: 2000
Type: article
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.
Author: Wilson Tong
Institution: Hong Kong University of Science and Technology
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1976863795