Day-of-the-week and intraday effects in stock returns

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Abstract

This study examines day-of-the-week effects using hourly values of the Dow Jones Industrial Average. We find that over the 1963–1983 period the weekend effect has sifted from characterizing active trading on Monday to characterizing the non-trading weekend. Over the early part of our sample period negative returns characterize each hour of trading on Monday, while the return from Friday close to Monday open is positive. In the most recent subperiod, Monday average hourly returns after noon are all positive and the weekend effect is due to negative average returns from Friday close to Monday open.

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The views expressed in this paper do not reflect the views of the Federal Reserve System. We are grateful to Andrew Lo, Terry Marsh, Jay Ritter, Bill Schwert and especially Don Keim and Ken French (the referee) for comments and suggestions that have improved the quality of this paper. This is a revised version of the paper we presented at the Western Finance Association meeting in Vancouver, June 1984. We would also like to thank Jay Merves and David Mook for excellent research assistance.

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