Studies on weekend momentum and reversal effect of world main stock markets

The paper proposed the concept of weekend momentum effect, and set up a theoretical model of weekend momentum effect based on prospect theory. The results of the empirical research of the world main stock markets support the theoretical model quite well. The empirical research finds statistically significant weekend momentum effect for more than half a century of Dow-Jones Index, for more than one fourth of a century of Hang Seng Index, and from the beginning to now of Chinese mainland stock markets and south east Asian (except Singapore's) stock markets. The weekend momentum effects of Asian emerging markets are stronger than that of Asian more mature and more international markets, which are stronger than that of European, American and Japanese stock markets. With the exception of Chinese mainland markets, the weekend momentum effect becomes weaker with time in the nearest 20 years.