Do Investors Hold over the Weekend or do They Sell?

Do investors sell their stocks on weekends so as to avoid potentially nasty surprises?





I looked at the closing data for each weekday in 2008 for DIA, SPY, and FXP (as well as FXI, XLF and VIX). DIA and SPY represent two broad indxes, FXP and FXI and Chinese ultra ETFs (short and long respectively), and the VIX is the volatility index.

For calculations I used the adjusted day's close minus close of the previous trading day. The objective was to see if people held these over the weekend. These are the results, and also shown in the graph above:


DIA:

Fridays: 10 down days, 2 up days, average -0.81%
Mondays: 4 down days, 6 up days, +0.35%
Tuesdays: 6 down days, 6 up days, +0.23%
Wednesdays: 6 down days, 7 up days, +0.03%
Thursdays: 6 down days, 7 up days, -0.14%

SPY:

Fridays: 10 down days, 2 up days, average -0.75%
Mondays: 5 down days, 5 up days, +0.23%
Tuesdays: 5 down days, 7 up days, +0.20%
Wednesdays: 7 down days, 5 up days, -0.14%
Thursdays: 7 down days, 6 up days, -0.13%


FXP:

Fridays: 5 down days, 7 up days, average +0.16%
Mondays: 6 down days, 4 up days, -0.56%
Tuesdays: 6 down days, 6 up days, +0.38%
Wednesdays: 5 down days, 7 up days, +1.61%
Thursdays: 5 down days, 8 up days, +1.29%

FXI:

Fridays: 7 down days, 5 up days, average -0.08%
Mondays: 3 down days, 7 up days, +0.47%
Tuesdays: 6 down days, 6 up days, -0.44%
Wednesdays: 7 down days, 5 up days, -0.71%
Thursdays: 8 down days, 5 up days, -0.74%

XLF:

Fridays: 7 down days, 5 up days, average -0.69%
Mondays: 5 down days, 5 up days, -0.51%
Tuesdays: 6 down days, 6 up days, +0.79%
Wednesdays: 7 down days, 5 up days, -0.01%
Thursdays: 8 down days, 5 up days, -0.35%

VIX:

Fridays: 6 down days, 6 up days, average +1.75%
Mondays: 7 down days, 3 up days, +0.01%
Tuesdays: 7 down days, 5 up days, -0.88%
Wednesdays: 5 down days, 7 up days, +0.57%
Thursdays: 7 down days, 6 up days, -0.54%

SUMMARY:




Looks like the results for DIA and SPY are pretty conclusive for Fridays. It seems that few people want to hold these during weekends. This is also consistent with the VIX being up on Fridays, percentage wise.

Interestingly FXP seems to do very well (long) on Wednesdays and Thursdays.