Impact of firm size on the Weekend effect: Evidence from the Australian Stock Exchange

Abstract

INTRODUCTION Saqib Sharif 1 1Department of Finance, Institute of Business Administration (IBA), Main Campus, Karachi. Email: ssharif@iba.edu.pk Researchers have investigated the stock market calendar anomaly of Weekend Effect for more than four decades. The literature comprises, for example, French (1980), Gibbons & Hess (1981), Jaffe & Westerfield (1985), Lakonishok & Maberly (1990), Abraham & Ikenberry (1994), and Caporale, Gil-Alana, & Plastun (2016). The difference between the Friday returns and the next week Monday returns is called the Weekend Effect. Evidence from abovementioned papers concludes that security returns on Friday are positively significant and larger compared with the rest of trading days of the week, whereas security’s Monday returns are substantially negative and lesser, compared to rest of trading days of the week. Conversely, Connolly (1989) claim that the Weekend Effect anomaly is unsustainable over the extended period, it exists in certain time periods, fades in some periods and re-emerge again. Moreover, the study of Brusa, Liu, & Schulman (2000) finds a significantly ‘reverse’ or negative Weekend Effect – that is, security returns on Monday are considerably positive and greater than the rest of trading days of the week, especially from the early nineties in medium and large-cap stocks. This study extends the boundaries of existing literature in numerous ways. Firstly, the paper investigates whether the Weekend Effect anomaly observed in the extant literature subsists in the Australian exchange. Secondly, this paper documents the association between the Weekend effect and firm size. Thirdly, this research utilizes recent data to explore the Weekend effect anomaly in one of the developing markets, since recent studies mainly focus