An investigation of the weekend effect during different market orientations

Studies of stock returns over short horizons indicated irregularities in returns, the weekend effect, and consequently the notion of market efficiency has been questioned. Despite extensive research on the weekend effect, little research has been conducted to define the prominence of the seasonal anomaly in Bear markets versus non-Bear markets. In the paper the weekend effect is investigated for daily returns in the Dow Jones Industrial Average (DJIA), the S&P 500, and the NASDAQ for Bear and non-Bear markets. Results support a weekend effect but only during non-Bear market orientations and a possible day-of-the-week effect during Bear and non-Bear markets.