The Week‐End Effect in Common Stock Returns: The International Evidence
考察四个外国股票市场的日收益，发现每个市场都存在周末效应，并探讨其与美国市场的关系、时区影响、结算程序偏差及外汇对冲问题。
ABSTRACT This paper examines the daily stock market returns for four foreign countries. We find a so‐called “week‐end effect” in each country. In addition, the lowest mean returns for the Japanese and Australian stock markets occur on Tuesday. The remainder of the paper answers four questions. Are seasonal patterns in foreign stock markets independent of those previously reported in the U.S.? Do Japan and Australia exhibit a seasonal one day out of phase due to different time zones? Do settlement procedures across countries bias week‐end effects? Does the seasonal pattern in foreign exchange offset the week‐end effect in stocks for Americans investing overseas?