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

Stock Price Distributions and News: Evidence from Index Options

“…Evidence regarding day-of-the-week effects in the U.K. stock market can be found in, for example, Choy and O'Hanlon (1989) and Steeley (2001).…”

Analysis of the Weekend Effect on the Markets of 121 Equity Indices and 29 Commodities

“…Kamara (1997) proved that the weekly effects declined in the period of 1962-1993 because of increased institutional trading in large cap stocks. His result were confirmed by Steeley (2001), who revealed that the weekend effect disappeared in the 1990s. Ziemba (1993) found that Fridays average rates of return were positive and Mondays negative when the session on Friday was the last session in the week, while the average rates of return on Sundays were highly positive in the weeks with Saturday trading.…”

Are there Monday effects in stock returns: A stochastic dominance approach

“…Mehdian and Perry (2001) show that in the 1987-1998 period Monday returns are not signi…cantly di¤erent from returns during the rest of the week for the SP500, DJCOMP and NYSE (large-cap) indexes. Coutts and Hayes (1999) also show empirically that the Monday e¤ect exists but is not as strong as has been previously documented for the UK stock indexes, see also Steeley (2001). Wang, Li, and Erickson (1997) show that the Monday e¤ect (negative returns) occurs primarily in the last two weeks of the month for a number of stock indexes consistently over the period 1962-1993, while returns for the …rst part of the month are not statistically signi…cantly di¤erent from zero.…”