Analysis of the Weekend Effect on the Markets of 121 Equity Indices and 29 Commodities

The problem of efficiency of financial markets, especially the weekend effect has always fascinated scientists. The issue is significant from the point of view of assessing the portfolio management effectiveness and behavioral finance. This paper tests the hypothesis of weekend effects of the market of 121 equity indices and 29 commodities with the following four approaches: Friday close -Monday open, Friday close -Monday close, Friday close -Tuesday open and Friday close -Tuesday close prices. Calculations presented in this paper indicate the presence of the monthly effect in the following cases: 36 (I approach), 58 (II approach), 57 (III approach) and 66 (IV approach).