Impact of firm size on the Weekend effect: The Australian Stock Exchange evidence
DOI:
https://doi.org/10.31384/jisrmsse/2019.17.1.10Keywords:
Australian Stock Exchange (ASX), Weekend effect, Stock returns, Size effect, Efficient Market Hypothesis (EMH)Abstract
This paper examines whether the Weekend effect anomaly documented in the extant literature exists in the Australian Financial Exchange (ASX). Daily data from January 1994 to September 2018 documents a strong Weekend effect in equal-weighted index and small firms before the Global Financial Crises (GFC). That is, as the size of the business increases the Weekend effect starts to dissipate due to significantly negative Monday returns for small-capitalized firms and significantly positive Monday returns for large-capitalized firms. On the other hand, during and after the GFC period, from January 2008 to September 2018, this study finds strong Weekend effect in large capitalized stocks and weakly significant effect in small capitalized stocks. Hence, the evidence suggests that Weekend effect still persist for Australian securities, but have shifted from smaller stocks to larger stocks. Moreover, this study finds absence of Weekend effect in equal- and value-weighted indices in the 10-year recent data. Therefore, investing in stock index futures contracts would not yield better returns due to diminishing of Weekend effect anomaly in indices.
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