Reversal of the weekend effect in Canada: an empirical analysis

Srinivas Nippani; John G. Greenhut

doi:10.1108/03074351111153221

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Managerial Finance

ISSN: 0307-4358

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Reversal of the weekend effect in Canada: an empirical analysis

Document Information:
Title:	Reversal of the weekend effect in Canada: an empirical analysis
Author(s):	Srinivas Nippani, (Department of Accounting, Economics and Finance, College of Business and Technology, Texas A&M University-Commerce, Commerce, Texas, USA), John G. Greenhut, (Department of Accounting, Economics and Finance, College of Business and Technology, Texas A&M University-Commerce, Commerce, Texas, USA)
Citation:	Srinivas Nippani, John G. Greenhut, (2011) "Reversal of the weekend effect in Canada: an empirical analysis", Managerial Finance, Vol. 37 Iss: 9, pp.840 - 854
Keywords:	Canada, Reverse weekend effect, Stock markets
Article type:	Research paper
DOI:	10.1108/03074351111153221 (Permanent URL)
Publisher:	Emerald Group Publishing Limited
Acknowledgements:	JEL classification – G1, G14The authors thank the Office of the Dean, College of Business and Technology, Texas A&M University-Commerce for the financial support in purchasing the data from TSX Datalinx. The authors also thank Pu Liu, Kenneth M. Washer, M.L. Greenhut, and Nathan Harness, Christopher Seward and Pravesh Joshi for helpful comments.
Abstract:	Purpose – The purpose of the paper is to check for reverse weekend effect in the Canadian stock market. Design/methodology/approach – T-tests, non-parametric tests and regressions were employed. Findings – There is reverse weekend effect in the Canadian stock market. Canadian stocks are shown to exhibit the traditional weekend effect prior to 1988, dissipating after that year until 1998 and then reversing to become the first non-US market for which a reverse weekend effect is found. Originality/value – This is the first paper on the Canadian stock market looking at reversal.