The Weekend and ‘Reverse’ Weekend Effects: An Analysis by Month of the Year, Week of the Month, and Industry

Abstract

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.