Investigating the weekend anomaly and its implications : evidence from international financial markets

Abstract

PURPOSE: As contended in prior literature, the weekend anomaly is the tendency for financial markets or security prices to be lower on Mondays than on previous Fridays. The aim of this study was to empirically investigate the weekend anomaly in seven international financial markets namely; NASDAQ Index, CAC 40 Index, DAX Index, JPX-Nikkei Index 400, SSE Index, BIST and JSE Index.

METHODOLOGY: This study made use of the F- statistics test for the most recent 5 years August 22, 2017 to August 22, 2022.

FINDINGS: Contrary to the findings in the literature, there is no evidence to support the weekend anomaly. This was evident in the pvalues for the F-statistics test in all the financial markets under consideration to be statistically insignificant.

ORIGINALITY/VALUE: Although this concept may have existed, it is no longer applicable hence traders and market participants should avoid regular or pure arbitrage strategy as it may result in significant losses. As per the author’s knowledge, this study is the first to empirically investigate the weekend anomaly in seven international markets using the most recent data.