Weekend effect is another form of calendar anomaly. In this effect the stock price returns are positive for the weekdays but the returns are seen to be negative for Friday in the latter half meaning time which is close the opening time Monday. It has also been observed that the prices of the shares normally rise during the latter half of the day. This effect was researched in the detail by Kerim with another researcher Stambaugh in the year 1984.They did research on a time horizon from year 1928 to 1982. They used the price of the value weighted S&P Composite stock price Index.  It was the first time that anyone had covered such long time span returns. According to their study the first day of the week i.e. Monday experienced a significant level of negative return effect. They also found out that the last day of the week which is Saturday experienced a strong positive return (Ariel, 1990).

These results were tested at 95% level of confidence. However they also rejected around nine subintervals of five years in their study at the same confidence level of 95%. They also did a research on the sub periods from the year 1928 to the year 1953 and from the year 1953 to 1982. In both the sub periods, they found out that the returns on the last day of the week for this Index was significantly positive. They also found that the returns on the starting of the month i.e. Monday tend to be significantly negative. They also included the size effect in their calculations. They found that the positive returns on the last day of the week were significantly higher for the firms which are small in size. Thus the size effect also affected the returns.

In another research, the same results were discovered in the returns of the US treasury bills. Hence this effect was also seen in the bond market too.

Similar to this result in another research it was found that the returns tend to turn positive at the end of the day.