The weekend effect, good news, bad news and the Financial Times Industrial Ordinary Shares Index: 1935–94

Abstract

In recent years much evidence has been documented of the existence of regularities in stock price returns, and consequently the notion of market efficiency has been questioned. The primary objective of this paper is to investigate the ‘weekend’ effect for a large sample of daily returns from the Financial Times Industrial Ordinary Shares Index (FT 30). Empirical results lead us to tentatively suggest that a weekend effect has existed for the FT 30, but that this regularity has not been persistent. We then partition the Monday returns into positive and negative returns, and find that whilst the weekend effect holds for the Mondays, with negative returns, it fails to hold for Mondays which exhibit positive returns. These results support the results of earlier research. Finally we conclude that these results do not contest the notion of market efficiency.