Critical Finance Review > Vol 5 > Issue 2

No More Weekend Effect

Russell P. Robins, A. B. Freeman School of Business, Tulane University, USA, , Geoffrey Peter Smith, W. P. Carey School of Business, Arizona State University, USA,
Suggested Citation
Russell P. Robins and Geoffrey Peter Smith (2016), "No More Weekend Effect", Critical Finance Review: Vol. 5: No. 2, pp 417-424.

Publication Date: 21 Dec 2016
© 2016 R. P. Robins and G. P. Smith
Financial markets
Weekend effectStructural break


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In this article:
1. Introduction 
2. Method 
3. Results and analysis 
4. Conclusion 


Before 1975, the mean weekend rate of return on the equal-weight (value-weight) stock market portfolio is significant -18bp (-19bp). After 1975, it is insignificant -5bp (-1bp). This break date is determined by a structural break test with unknown break date. The weekend effect is no longer an anomaly.