In this paper, we find a ‘reverse%rsquo; weekend effect — whereby returns for Monday are positive and significantly greater than returns for the preceding Friday — in recent data for major stock indexes. We also find that, while a weak weekend effect exists in portfolios of smaller firms, the effect begins to diminish and weak ‘reverse’ weekend effect begins to appear in medium size firms. The ‘reverse’ weekend effect becomes strong and statistically significant in portfolios of large firms. The detection of a ‘reverse’ weekend effect in portfolios of large firms is a new finding in the literature.
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Brusa et al. (2000) studied this question.