THE WEEKEND EFFECT ON THE INDEX RETURNS OF 15 STOCK EXCHANGES AROUND THE WORLD

Abstract

This study examines the weekend effect on the returns of 15 stock exchange indexes around the world. Empirical tests were performed on the daily returns of stock market indexes from the sample countries over the period from January 2010 to May 2015. The results conclude that the weekend effect no longer exists in the USA. In addition, the weekend effect has disappeared in European Union member countries (France, and Germany) and the UK. The effect has also disappeared in almost every country studied in Latin America except Venezuela and Chile, where it persists. This study contributes to elucidating the effect of weekends and time differences when negotiating on stock markets. The results help comprehend the potential relationship between stock exchange index returns around the world and the location of the market. This work provides useful insights for investors making decisions, scholars, and policy makers.