We provide firm-level evidence from an emerging Islamic market that individual investors' trading behaviour causes weekend sentiment. Using data for 285 companies listed on the Dhaka Stock Exchange (DSE) for the period from 2002 to 2019 and applying appropriate econometric techniques, the paper has found evidence of weekend effect both on return and volatility. The results confirm that individual investors' sentiment drives the weekend effect in DSE. ‘Information content theory’ and ‘information processing hypothesis’ work for investors so that the market return and volatility become significantly different on Sunday. The market sentiment effect is significant for smaller firms and low dividend yield firms where individual investors are prevalent, suggesting that trading behaviour of individual investors determines weekend sentiment. A positive feedback relationship exists between returns on Sunday and the previous Thursday for both institutions and individuals. Our results are robust in various alternative specifications.

我们从新兴的伊斯兰市场中提供公司级别的证据，表明个人投资者的交易行为会引起周末情绪。通过使用2002年至2019年期间在达卡证券交易所（DSE）上市的285家公司的数据，并采用适当的计量经济学技术，该论文发现了周末对收益率和波动率的影响的证据。结果证实，个人投资者的情绪驱动了DSE的周末效应。“信息内容理论”和“信息处理假设”为投资者服务，因此周日市场回报率和波动性显着不同。对于个人投资者盛行的小型公司和低股息率公司而言，市场情绪效应显着，这表明个人投资者的交易行为决定了周末情绪。机构和个人在周日和上周四的收益之间存在正反馈关系。我们的结果在各种替代规范中都很可靠。