IS THERE A WEEKEND EFFECT IN EUROPE? AN ANALYSIS OF DAILY RETURNS, NON-TRADING RETURNS, AND TRADING RETURNS

• Main Authors: William Compton, Robert Kunkel
• Format: Article
• Language: English
• Published: People & Global Business Association (P&GBA) 2004-09-01
• Series: Global Business and Finance Review
• Subjects: weekend effect; daily returns; non-trading returns; trading returns; european strock market
• Online Access: http://www.gbfrjournal.org/pds/journal/thesis/20150624150834-BS1EL.pdf

This paper examines the stock markets o f eight European countries for recent evidence o f a weekend effect where Monday s return is significantly less than the re. ·t o f the week. We further decompose daily returns into non-trading periods (close-to-open) and trading periods (open-to-close) and test those return series using both parametric and non-parametric tests to address methodological problems identified in earlier studies. While are unable to find a weekend effect in European stock markets. While one major study uncovered a unique twist to the weekend effect in non-trading returns in the US stock market. we find no such unique twist tn the European stock markets.