Science Direct: JFE

Harris, L. (1986). "A transaction data study of weekly and intradaily patterns in stock returns." Journal of Financial Economics 16(1): 99-117.
    Weekly and intradaily patterns in common stock prices are examined using transaction data. For large firms, negative Monday close-to-close returns accrue between the Friday close and the Monday open; for smaller firms they accrue primarily during the Monday trading day. For all firms, significant weekday differences in intraday returns accrue during the first 45 minutes after the market opens. On Monday mornings, prices drop, while on the other weekday mornings, they rise. Otherwise the pattern of intraday returns is similar on all weekdays. Most notable is an increase in prices on the last trade of the day.



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http://www.sciencedirect.com/science/article/pii/0304405X86900449

https://bbs.pinggu.org/thread-607404-1-1.html
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