Abstract
This paper examines the impact of TSE Saturday trading on daily TOPIX returns and TSE trading volume over the January 1976 to January 1989 period. Saturday trading is shown to have no significant impact on mean stock returns for the other days of the week. However, a significant shift in the pattern of Monday and Tuesday TOPIX returns is documented in the post-August 1986 period. This shift does not appear to be related to Saturday trading. TSE Saturday trading is found to have a significant impact on the variance of stock returns on surrounding days. In addition, trading volume is significantly lower on trading days surrounding Saturday trading. These findings are relevant to the timing of portfolio adjustment decisions.
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Hiraki, T., Maberly, E.D. & Taube, P.M. The impact of Saturday trading on stock returns: Evidence from the Tokyo stock exchange January 1976 to January 1989. Financial Engineering and the Japanese Markets 1, 67–80 (1994). https://doi.org/10.1007/BF02425210
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DOI: https://doi.org/10.1007/BF02425210