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 language | English |
|---|---|
| Pages (from-to) | 1941-1956 |
| Number of pages | 16 |
| Journal | Journal of Banking and Finance |
| Volume | 25 |
| Issue number | 10 |
| Early online date | 6 Sept 2001 |
| DOIs | |
| Publication status | Published - Oct 2001 |
Keywords
- weekend effect
- information seasonality
- UK stock market
- economic announcements
- news