This study analyzes the weekend effect in the first half and the second half of the month and finds a weekend effect: Friday's returns are significantly greater than Monday's returns. However, the spread between Monday's and Friday's returns shifts between the first half and the second half of the month. Consequently, a plausible explanation for the weekend effect should consider the shifting of Monday-Friday returns across the month. In addition, the 1982–1992 period does not exhibit a monthly effect or a weekend effect for the value-weighted index.