International Evidence on Weekend Anomalies

Posted: 3 Jan 2000

See all articles by Wilson H.S. Tong

Wilson H.S. Tong

Hong Kong Polytechnic University - School of Accounting and Finance; Hong Kong University of Science & Technology (HKUST) - Department of Finance

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 indices, I find that the negative Friday is, in general, important to the Monday effect. Furthermore, the 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: G12, G14

Suggested Citation

Tong, Wilson H.S., International Evidence on Weekend Anomalies. Available at SSRN: https://ssrn.com/abstract=197232

Wilson H.S. Tong (Contact Author)

Hong Kong Polytechnic University - School of Accounting and Finance ( email )

M715, Li Ka Shing Tower
Hung Hom, Kowloon, Kowloon
Hong Kong

Hong Kong University of Science & Technology (HKUST) - Department of Finance ( email )

Clear Water Bay, Kowloon
Hong Kong
852-2358-7679 (Phone)
852-2358-1749 (Fax)

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