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Article
Publication date: 9 August 2011

Srinivas Nippani and John G. Greenhut

The purpose of the paper is to check for reverse weekend effect in the Canadian stock market.

Abstract

Purpose

The purpose of the paper is to check for reverse weekend effect in the Canadian stock market.

Design/methodology/approach

T‐tests, non‐parametric tests and regressions were employed.

Findings

There is reverse weekend effect in the Canadian stock market. Canadian stocks are shown to exhibit the traditional weekend effect prior to 1988, dissipating after that year until 1998 and then reversing to become the first non‐US market for which a reverse weekend effect is found.

Originality/value

This is the first paper on the Canadian stock market looking at reversal.

Details

Managerial Finance, vol. 37 no. 9
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 15 January 2020

Selma Izadi and Abdullah Noman

The existence of the weekend effect has been reported from the 1950s to 1970s in the US stock markets. Recently, Robins and Smith (2016, Critical Finance Review, 5…

Abstract

Purpose

The existence of the weekend effect has been reported from the 1950s to 1970s in the US stock markets. Recently, Robins and Smith (2016, Critical Finance Review, 5: 417-424) have argued that the weekend effect has disappeared after 1975. Using data on the market portfolio, they document existence of structural break before 1975 and absence of any weekend effects after that date. The purpose of this study is to contribute some new empirical evidences on the weekend effect for the industry-style portfolios in the US stock market using data over 90 years.

Design/methodology/approach

The authors re-examine persistence or reversal of the weekend effect in the industry portfolios consisting of The New York Stock Exchange (NYSE), The American Stock Exchange (AMEX) and The National Association of Securities Dealers Automated Quotations exchange (NASDAQ) stocks using daily returns from 1926 to 2017. Our results confirm varying dates for structural breaks across industrial portfolios.

Findings

As for the existence of weekend effects, the authors get mixed results for different portfolios. However, the overall findings provide broad support for the absence of weekend effects in most of the industrial portfolios as reported in Robins and Smith (2016). In addition, structural breaks for other weekdays and days of the week effects for other days have also been documented in the paper.

Originality/value

As far as the authors are aware, this paper is the first research that analyzes weekend effect for the industry-style portfolios in the US stock market using data over 90 years.

Details

Journal of Financial Economic Policy, vol. 12 no. 4
Type: Research Article
ISSN: 1757-6385

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Article
Publication date: 9 August 2011

Jorge Brusa, Rodrigo Hernandez and Pu Liu

The purpose of this paper is to examine whether the seasonal anomaly known as the reverse weekend effect detected at index level can also be observed at individual stock level.

Abstract

Purpose

The purpose of this paper is to examine whether the seasonal anomaly known as the reverse weekend effect detected at index level can also be observed at individual stock level.

Design/methodology/approach

This paper's methodology is based on the model first developed by Connolly and then employed by Chang, Pinegar, and Ravichandran in which returns are regressed against the dummy variable for Monday. In addition, the conditional variance is also included into the mean equation following Engle, Lilien, and Robins. Given the increasing evidence that equity returns are conditionally heteroskedastic, the paper includes in the conditional variance the lag of the squared residual from the mean equation (i.e. autoregressive conditional heteroskedasticity term introduced by Engle) and the previous period's forecast variance (i.e. the generalized autoregressive conditional heteroskedasticity term introduced by Bollerslev). Also, the paper controls for the different impact of good and bad news on the conditional variance following Glosten, Jaganathan, and Runkle.

Findings

It is found that the anomaly is widely distributed among large firms, not just confined to a few firms. The finding suggests that the anomaly at the index level is not driven by the extreme returns of a few firms. The paper also finds that the anomaly at the firm level is not evenly distributed across the weeks of the month. Furthermore, trading volume and illiquidity of individual firms can only partially explain the seasonal anomaly.

Originality/value

This paper extends the study of the reverse weekend effect in individual firms.

Details

Managerial Finance, vol. 37 no. 9
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 7 August 2018

Alexandra Khoury, Mark Jones, Christopher Buckle, Mark Williamson and Guy Slater

Weekend surgery carries higher mortality than weekday surgery, with complications most commonly arising within the first 48 hours. There is a reduced ability to identify…

Abstract

Purpose

Weekend surgery carries higher mortality than weekday surgery, with complications most commonly arising within the first 48 hours. There is a reduced ability to identify complications at the weekend, with early signs going undetected in the absence of thorough early patient review, particularly in the elderly with multiple co-morbidities. Weekend working practices vary amongst UK hospitals and specialties. The weekend effect has been a prominent feature in the literature over the past decade. The purpose of this paper is to identify the number of patients undergoing weekend surgery who receive a Day 1 post-operative review and improve this outcome by implementing an effective change.

Design/methodology/approach

It was observed that not all patients undergoing surgery on a Friday or Saturday at the authors’ District General Hospital were receiving Day 1 post-operative review by a clinician. A retrospective audit was carried out to identify percentage of patients reviewed on post-operative Day 1 at the weekend. A change in handover practice was implemented before re-audit.

Findings

In Phase 1, 54 per cent of patients received Day 1 post-operative reviews at the weekend against a set standard of 100 per cent. A simple change to handover practice was implemented to improve patient safety in the immediate post-operative period resulting in 96 per cent of patients reviewed on Day 1 post-operatively at re-audit.

Originality/value

This study confirms that simple changes in handover practices can produce effective and translatable improvements to weekend working. This further contributes to the body of literature that acknowledges the existence of a weekend effect, but aims to evolve weekend working practices to accommodate improvement within current staffing and resource availability by maximising efficiency and communication.

Details

International Journal of Health Governance, vol. 23 no. 4
Type: Research Article
ISSN: 2059-4631

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Article
Publication date: 11 May 2010

Iryna O. Depenchuk, William S. Compton and Robert A. Kunkel

This study aims to examine the market returns of the Ukrainian stock and bond markets to determine whether they exhibit calendar anomalies including the January effect

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Abstract

Purpose

This study aims to examine the market returns of the Ukrainian stock and bond markets to determine whether they exhibit calendar anomalies including the January effect, weekend effect, and turn‐of‐the‐month (TOM) effect. Ukraine provides an opportunity to examine the efficiency of an emerging market, adding to the extensive body of research on calendar anomalies.

Design/methodology/approach

Regression analysis is used to examine the relationship between January returns vs non‐January returns, Monday returns vs non‐Monday returns, and TOM returns vs non‐TOM returns. Non‐parametric t‐tests and Wilcoxon signed rank tests are also used to examine TOM returns vs the rest of the month returns.

Findings

There is no evidence of a January effect or a weekend effect in the Ukrainian stock and bond markets. However, our results support a TOM effect in the Ukrainian stock market. The mean daily TOM return is 0.35 vs 0.24 per cent for the rest of the month. Additionally, in 63 per cent of the months, the mean daily TOM return exceeds the return for the rest of the month.

Research limitations/implications

The data are limited to five‐years of daily returns and two different Ukrainian indexes. Thus, the results could be biased by the time period analyzed. The results are important for portfolio managers and investors as they can benefit from the TOM effect, but not the January effect and weekend effect.

Originality/value

This is the first study to our knowledge that has extensively examined the calendar anomalies in the Ukrainian stock and bond markets.

Details

Managerial Finance, vol. 36 no. 6
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 1 July 2006

Mahendra Raj and Damini Kumari

This paper attempts to investigate the presence of seasonal effects in the Indian stock market.

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3053

Abstract

Purpose

This paper attempts to investigate the presence of seasonal effects in the Indian stock market.

Design/methodology/approach

The paper tests the efficiency of the Indian stock market through a number of hypotheses. Week day effects, day‐of‐the‐week, weekend, January and April effects are examined by applying a variety of statistical techniques.

Findings

The results are interesting and contradict some of the findings found elsewhere. The negative Monday effect and the positive January effects are not found in India. Instead the Monday returns are positive while Tuesday returns are negative.

Research limitations/implications

The seasonal effects in the Indian market have been examined by the two major indices, the Bombay Stock Exchange Index and the National Stock Exchange Index. However, it must be remembered that the Indian economy became deregulated from 1991 and this may have had an impact on the markets.

Practical implications

This study indicates that the Indian stock market does not exhibit the usual seasonal anomalies such as Monday and January effect. The absence of Monday effect could be due to the settlement period in Indian market. That the tax year ends in March and December has no special significance may explain the non‐existence of January

Originality/value

Most of the studies on anomalies have dealt with the developed markets. The Indian market has its unique Badla financing, settlement period duration and trading regulations. The presence/absence of the anomalies may provide support to some of the hypotheses used to explain them.

Details

International Journal of Emerging Markets, vol. 1 no. 3
Type: Research Article
ISSN: 1746-8809

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Article
Publication date: 13 April 2010

Osamah Al‐Khazali, Taisier A. Zoubi and Evangelos P. Koumanakos

The purpose of this paper is to empirically investigate the Saturday effect in three emerging stock markets (Bahrain, Kuwait, and Saudi Arabia) by taking into…

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1087

Abstract

Purpose

The purpose of this paper is to empirically investigate the Saturday effect in three emerging stock markets (Bahrain, Kuwait, and Saudi Arabia) by taking into consideration the thin trading that is normal in such capital markets.

Design/methodology/approach

The paper applies the stochastic dominance (SD) approach, which is not distribution‐dependent and can shed light on the utility and wealth implications of portfolio preferences by exploiting information in higher order moments, to investigate empirically the existence of the Saturday effect in the three Gulf stock markets.

Findings

The findings indicate that the Saturday effect does not manifest itself in the three Gulf stock markets and that the SD results show that the Saturday effect in these markets is not present when raw data are corrected for thin and infrequent trading.

Originality/value

This paper is believed to be the first to use SD approach to examine the Saturday effect.

Details

International Journal of Emerging Markets, vol. 5 no. 2
Type: Research Article
ISSN: 1746-8809

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Article
Publication date: 7 March 2016

Dinesh Jaisinghani

– The purpose of this paper is to test prominent calendar anomalies for Indian securities markets those are commonly reported for advanced markets.

Abstract

Purpose

The purpose of this paper is to test prominent calendar anomalies for Indian securities markets those are commonly reported for advanced markets.

Design/methodology/approach

The study considers closing values of 11 different indices of National Stock Exchange India, for the period 1994-2014. By using dummy variable regression technique, five different calendar anomalies namely day of the week effect, month of the year effect, mid-year effect, Halloween effect, and trading-month effect are tested. Also, the evidence of volatility clustering has been tested through the application of generalized autoregressive conditional heteroscedasticity (GARCH)-M models.

Findings

The results display weak evidence in support of a positive Wednesday effect. The results also display weak evidence in support of a positive April and December effect. The results show strong evidence in support of a positive September effect. The Halloween effect was not found significant. The test of mid-year effect provides evidence that the returns obtained on the second-half or the year are considerably higher than those obtained during the first half. The test of interactions effects showed possible presence of interactions among various effects. The GARCH-based tests display strong evidence in support of volatility clustering.

Practical implications

The results have several implications for investors, regulators, and researchers. For investors, the trading strategies based on results obtained have been discussed. Similarly, certain key implications for regulators have been described.

Originality/value

The originality of the paper lies in the long time frame and multiple indices covered. Also, the study analyses five different calendar anomalies and the interactions among these effects. These analyses provide useful insights regarding returns predictability for the Indian securities markets.

Details

South Asian Journal of Global Business Research, vol. 5 no. 1
Type: Research Article
ISSN: 2045-4457

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Book part
Publication date: 19 May 2009

Sabine Sonnentag and Sabine A. E. Geurts

This chapter describes methodological issues that are relevant for research on recovery. We aim to provide an overview of methodological approaches that have been or can…

Abstract

This chapter describes methodological issues that are relevant for research on recovery. We aim to provide an overview of methodological approaches that have been or can be used in recovery research, and to provide methodological guidelines that researchers may use in assessing the process of recovery. We argue that studies on recovery must be explicit about recovery settings, recovery processes (i.e., activities and experiences) and recovery outcomes. We describe typical operationalizations of these three perspectives and focus in more detail on potential measures of recovery outcomes. We give an overview of research designs including experiments and quasi-experiments, diary studies, and longitudinal field studies. We conclude by pointing to remaining challenges for researchers in the area of recovery.

Details

Current Perspectives on Job-Stress Recovery
Type: Book
ISBN: 978-1-84855-544-0

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Article
Publication date: 14 October 2013

William Compton, Robert A. Kunkel and Gregory Kuhlemeyer

The paper aims to examine the Russian stock and bond markets for evidence of calendar anomalies in the first decade of the twenty-first century including a monthly…

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1800

Abstract

Purpose

The paper aims to examine the Russian stock and bond markets for evidence of calendar anomalies in the first decade of the twenty-first century including a monthly seasonality, weekday seasonality, and a turn-of-the-month (TOM) seasonality. The study is motivated by interest in the Russian transition to a free market economy and provides an opportunity to examine an important emerging market in the process of transition, while adding to the extensive body of research on calendar anomalies.

Design/methodology/approach

Parametric and non-parametric tests are used to examine two Russian stock indices and two Russian bond indices for evidence of persistent calendar patterns in daily returns. The paper also includes in the study a US bond index and US stock index.

Findings

There is strong evidence of a persistent monthly pattern (but no January effect) and strong evidence of weekday seasonality (but no Monday effect) in the Russian bond market. There is also strong support for a TOM effect in the Russian and US stock and bond markets.

Research limitations/implications

The stock return data cover a ten-year period covering two recessions, two bull markets, and two bear markets, including the 2008 crisis. The bond market data are limited to six years of data and the results may be biased by the time period analyzed.

Originality/value

This is the first study, to the knowledge, that extensively examines the Russian stock and bond markets for evidence of calendar anomalies and finds a significant monthly pattern in Russian bonds.

Details

Managerial Finance, vol. 39 no. 12
Type: Research Article
ISSN: 0307-4358

Keywords

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