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Cited by 437

The DOI matches its Crossref record; 41 of the 41 references it cites were found in a registry or an index.

An Examination of the Robustness of the Weekend Effect

Connolly, Robert A.·1989·The Journal of Financial and Quantitative Analysis
DOI 10.2307/2330769
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Abstract

This paper analyzes the robustness of the day-of-the-week (DOW) and weekend effects to alternative estimation and testing procedures. The results show that sample size can distort the interpretation of classical test statistics unless the significance level is adjusted downward. Specification tests reveal widespread departures from OLS assumptions. Hypothesis tests results are reported using robust econometric methods and a GARCH model. The strength of the DOW and weekend effect evidence appears to depend on the estimation and testing method. Both effects seem to have disappeared by 1975.

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Metadata

Authors
Connolly, R. A.
Venue
The Journal of Financial and Quantitative Analysis
Publisher
JSTOR
Published
1989-06
Volume
24
Issue
2
Pages
133
ISSN
0022-1090 (ISSN-L)
DOI
10.2307/2330769
OpenAlex
W2157564530
Cited by
437
References
41
FWCI
16.32
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: An Examination of the Robustness of the Weekend Effect. https://app.cochat.ai/papers/10.2307/2330769
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Connolly, R. A. (1989). An Examination of the Robustness of the Weekend Effect. The Journal of Financial and Quantitative Analysis. https://doi.org/10.2307/2330769

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.