The Weekend and 'Reverse' Weekend Effects: An Analysis by Month of the Year, Week of the Month, and Industry
In this paper, we examine whether the 'reverse' weekend effect recently documented by Brusa, Liu and Schulman (2000) is concentrated in a few industries or widely spread across all the industries. The findings in this paper indicate that the 'reverse' weekend effect exists not only in "broad" indices, but also in most "industries". The results suggest that the 'reverse' weekend effect may be driven by economic events that affect "all" industries, rather than "industry-specific factors". Although the patterns of Monday returns are "similar" between "broad" indices and "industry" indices, they are "different" between the "pre"- and the "post"-1988 periods. Monday returns tend to be "negative" in the "pre"-1988 period, but tend to be "positive" in the "post"-1988 period, for both broad market indices and industry indices. These conclusions are valid even after considering the influence of the "month-of-the-year" and the "week-of-the-month" effects. Copyright Blackwell Publishers Ltd, 2003.
Year of publication: |
2003-06
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Authors: | Brusa, Jorge ; Liu, Pu ; Schulman, Craig |
Published in: |
Journal of Business Finance & Accounting. - Wiley Blackwell, ISSN 0306-686X. - Vol. 30.2003-06, 5-6, p. 863-890
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Publisher: |
Wiley Blackwell |
Saved in:
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