Abstract
Explanations for the day‐of‐the‐week effect are either market‐specific conventions (timing delays in settlement and clearing, dividend payout arrangements) or cross‐market events (bad news delayed until the weekend). Although a market‐specific rational is confined to one market, cross‐market events affect at least two markets. In this research we investigate the weekend effect in the stock and Treasury markets. Our findings suggest the weekend effect is nonparallel across financial markets. Thus, the weekend effect is more likely due to unique features of the individual markets than to events affecting both stock and Treasury markets simultaneously.