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The Reversing Weekend Effect: Evidence from the U.S. Equity Markets

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Abstract

The well-known weekend effect has been reversing in Major U.S. indices from late 1980s to late 1990s. The correlation between Monday and Friday returns also exhibited a declining trend, and fluctuated around zero in the 1990s. A power ratio method is developed to measure consistently the relative contribution of Friday and Monday returns to the return of the week in each individual year. The revealed dynamics of the anomaly explains why previous researchers report different or conflicting findings. The anomaly may not be necessarily related to firm size.

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Authors and Affiliations

  1. Jones School of Business, State University of New York, 115D South Hall, 1 College Circle, Geneseo, NY, 14454, USA Tel.:

    Anthony Yanxiang Gu

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  1. Anthony Yanxiang Gu
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Gu, A.Y. The Reversing Weekend Effect: Evidence from the U.S. Equity Markets. Review of Quantitative Finance and Accounting 22, 5–14 (2004). https://doi.org/10.1023/B:REQU.0000006183.42549.50

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  • DOI: https://doi.org/10.1023/B:REQU.0000006183.42549.50

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