A calendar effect that was first observed by Rogalski (1984) who discovered that the day-of-the-week effect (or weekend effect) need not necessarily be consistent throughout the year. For example, in the U.S stock market it was found to be valid only from February to December.

Rogalski examined the U.S. stock market from 1974 to 1984 to investigate whether the weekend effect is a closed market effect. He decomposed daily close-to-close returns into: (i) a non-trading (or close-to-open) return and (ii) a trading (or open-to-close) return. Rogalski unveiled a unique variation of the weekend effect where the Monday non-trading return (Friday close-to-Monday open) is negative while the Monday trading return (Monday open-to-Monday close) is similar to the trading returns of other weekdays. Rogalski concluded that the weekend effect comes into play over the weekend when the stock market is closed.