An analysis of the weekend effect within the monthly effect |
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| Authors: | Kartono Liano James T. Lindley |
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| Affiliation: | (1) Department of Finance and Economics, Mississippi State University, Box 9580, 39762 Mississippi State, MS;(2) Department of Finance, Southern Station, University of Southern Mississippi, Box 5076, 39406 Hattiesburg, MS |
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| Abstract: | This study analyzes the weekend effect in the first half and the second half of the month and finds a weekend effect: Friday's returns are significantly greater than Monday's returns. However, the spread between Monday's and Friday's returns shifts between the first half and the second half of the month. Consequently, a plausible explanation for the weekend effect should consider the shifting of Monday-Friday returns across the month. In addition, the 1982–1992 period does not exhibit a monthly effect or a weekend effect for the value-weighted index. |
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| Keywords: | weekend effect monthly effect return patterns |
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