Do common variations in liquidity exhibit a U-shaped pattern across weekdays?

Anomalies and stock returns have been studied thoroughly in the realm of asset pricing. This work is motivated by the lack of such studies on liquidity co-variation patterns. Earlier research documents market-wide commonality in liquidity. However, empirical work on the temporal behaviour of this observed commonality across trading weekdays has surprisingly been nonexistent. Given the well documented inverted U-shaped pattern of trading activity across weekdays, and the negative relation between trading costs and volume, it is argued that commonality in liquidity should exhibit a U-shaped pattern across weekdays. The empirical evidence supports this hypothesis. In particular, liquidity co-variations were found to be significantly higher on Mondays and Fridays. The contention that liquidity co-variations exhibit a U-shaped pattern is undoubtedly of interest to portfolio managers, investors, egulators, and academics.