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.
- weekend effect
- information seasonality
- UK stock market
- economic announcements
Steeley, J. M. (2001). A note on information seasonality and the disappearance of the weekend effect in the UK stock market. Journal of Banking and Finance, 25(10), 1941-1956. https://doi.org/10.1016/S0378-4266(00)00167-9