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

James M. Steeley

Research output: Contribution to journalArticle

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.
Original languageEnglish
Pages (from-to)1941-1956
Number of pages16
JournalJournal of Banking and Finance
Volume25
Issue number10
Early online date6 Sep 2001
DOIs
Publication statusPublished - Oct 2001

Keywords

  • weekend effect
  • information seasonality
  • UK stock market
  • economic announcements
  • news

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