The weekend effect on the Johannesburg stock exchange

The study of intraweek share return patterns has received considerable attention in the field of international research. This research has shown that share returns tend to be higher than average on the last trading day of the week and lower than average on the first. This anomaly has come to be known as the Weekend Effect. Explanations proffered for this phenomenon have failed adequately to justify the pattern of returns across the weekdays. These explanations include settlement period delays, dividend effects, measurement error in share prices, institutional features and the tendency for firms to release unfavourable information over the weekend. This study investigates day of the week effects on returns of the All Share Index, Industrial Index and Gold Index on the Johannesburg Stock Exchange.

Grantor dc:publisher.institution

School of Management Studies

Year dc:date.issued

1994

Author dc:creator

• Nash, Peter

Advisor dc:contributor.advisor

• Hobson, Jane

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/8474

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/8474