Journal of Banking & Finance Vol. 25 No. 10 2001
A note on information seasonality and the disappearance of the weekend effect in the UK stock market
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.
- DOI
- 10.1016/s0378-4266(00)00167-9
- Volume
- 25
- Issue
- 10
- Pages
- 1941-1956
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib