A note on information seasonality and the disappearance of the weekend effect in the UK stock market

@inproceedings{Steeley2001ANO,
  title={A note on information seasonality and the disappearance of the weekend effect in the UK stock market},
  author={James M. Steeley},
  year={2001}
}
The weekend effect in UK stock prices has disappeared in the 1990s. Beneath the surface however there remain systematic day-of-the-week effects only visible when returns are partitioned by the direction of the market. A systematic pattern of market-wide news arrivals into the UK stock market is discovered and found to provide an explanation for these day-of-the-week effects. 

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