THE NONPARALLEL WEEKEND EFFECT IN THE STOCK AND BOND MARKETS

J. Clay Singleton, John R. Wingender

Research output: Contribution to journalArticle

9 Citations (Scopus)

Abstract

Explanations for the day‐of‐the‐week effect are either market‐specific conventions (timing delays in settlement and clearing, dividend payout arrangements) or cross‐market events (bad news delayed until the weekend). Although a market‐specific rational is confined to one market, cross‐market events affect at least two markets. In this research we investigate the weekend effect in the stock and Treasury markets. Our findings suggest the weekend effect is nonparallel across financial markets. Thus, the weekend effect is more likely due to unique features of the individual markets than to events affecting both stock and Treasury markets simultaneously.

Original languageEnglish (US)
Pages (from-to)531-538
Number of pages8
JournalJournal of Financial Research
Volume17
Issue number4
DOIs
StatePublished - 1994
Externally publishedYes

Fingerprint

Bond market
Stock market
Weekend effect
Dividend payout
News
Financial markets

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance

Cite this

THE NONPARALLEL WEEKEND EFFECT IN THE STOCK AND BOND MARKETS. / Singleton, J. Clay; Wingender, John R.

In: Journal of Financial Research, Vol. 17, No. 4, 1994, p. 531-538.

Research output: Contribution to journalArticle

@article{d07016114d7c440fb21d176e7d79d2f2,
title = "THE NONPARALLEL WEEKEND EFFECT IN THE STOCK AND BOND MARKETS",
abstract = "Explanations for the day‐of‐the‐week effect are either market‐specific conventions (timing delays in settlement and clearing, dividend payout arrangements) or cross‐market events (bad news delayed until the weekend). Although a market‐specific rational is confined to one market, cross‐market events affect at least two markets. In this research we investigate the weekend effect in the stock and Treasury markets. Our findings suggest the weekend effect is nonparallel across financial markets. Thus, the weekend effect is more likely due to unique features of the individual markets than to events affecting both stock and Treasury markets simultaneously.",
author = "Singleton, {J. Clay} and Wingender, {John R.}",
year = "1994",
doi = "10.1111/j.1475-6803.1994.tb00163.x",
language = "English (US)",
volume = "17",
pages = "531--538",
journal = "Journal of Financial Research",
issn = "0270-2592",
publisher = "Wiley-Blackwell",
number = "4",

}

TY - JOUR

T1 - THE NONPARALLEL WEEKEND EFFECT IN THE STOCK AND BOND MARKETS

AU - Singleton, J. Clay

AU - Wingender, John R.

PY - 1994

Y1 - 1994

N2 - Explanations for the day‐of‐the‐week effect are either market‐specific conventions (timing delays in settlement and clearing, dividend payout arrangements) or cross‐market events (bad news delayed until the weekend). Although a market‐specific rational is confined to one market, cross‐market events affect at least two markets. In this research we investigate the weekend effect in the stock and Treasury markets. Our findings suggest the weekend effect is nonparallel across financial markets. Thus, the weekend effect is more likely due to unique features of the individual markets than to events affecting both stock and Treasury markets simultaneously.

AB - Explanations for the day‐of‐the‐week effect are either market‐specific conventions (timing delays in settlement and clearing, dividend payout arrangements) or cross‐market events (bad news delayed until the weekend). Although a market‐specific rational is confined to one market, cross‐market events affect at least two markets. In this research we investigate the weekend effect in the stock and Treasury markets. Our findings suggest the weekend effect is nonparallel across financial markets. Thus, the weekend effect is more likely due to unique features of the individual markets than to events affecting both stock and Treasury markets simultaneously.

UR - http://www.scopus.com/inward/record.url?scp=84986533297&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84986533297&partnerID=8YFLogxK

U2 - 10.1111/j.1475-6803.1994.tb00163.x

DO - 10.1111/j.1475-6803.1994.tb00163.x

M3 - Article

AN - SCOPUS:84986533297

VL - 17

SP - 531

EP - 538

JO - Journal of Financial Research

JF - Journal of Financial Research

SN - 0270-2592

IS - 4

ER -