The Daily Return Pattern in the Amman Stock Exchange and the Weekend Effect

Abstract

This paper examines the robustness of evidence on the weekend anomaly in stock return data after accounting for the impact of possible measurement errors and sample sizes. Consistent with the previous literature, the sample evidence quite often favours the alternative hypothesis of unequal returns across days of the week. The start-of-the-week day?s returns are consistently insignificantly negative across different time frames. The average returns for the day right after the beginning of the working week are consistently significantly negative. After controlling for the change of the working week to start on Sunday, results show that Thursday?s return (the end of the week) tends to be positive and the highest, while Monday?s return is a ?downer? (negative and the worst). This result is consistent with previous results documented in the literature. Possible explanations for the high positive significant Thursday return are the possible settlement practices, which imply unusually high closing on Thursdays and consequently lower closing on Mondays. Professional market watchers who are aware of the daily return pattern should adjust the timing of their buying and selling to take advantage of the effect. The new logical implication is ?Don?t sell stocks on the second day of the week?.