A note on information seasonality and the disappearance of the weekend effect in the UK stock market

Steeley, James M. A note on information seasonality and the disappearance of the weekend effect in the UK stock market. Journal of Banking and Finance, 25 (10), pp. 1941-1956.

Abstract

The weekend effect in UK stock prices has disappeared in the 1990s. Beneath the surface however there remain systematic day-of-the-week effects only visible when returns are partitioned by the direction of the market. A systematic pattern of market-wide news arrivals into the UK stock market is discovered and found to provide an explanation for these day-of-the-week effects.

Publication DOI: https://doi.org/10.1016/S0378-4266(00)00167-9
Divisions: Aston Business School > Accounting
Aston Business School > Accounting Research Group
Uncontrolled Keywords: weekend effect,information seasonality,UK stock market,economic announcements,news

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