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I am currently working on a large sample of textual data from news articles. I was just wondering whether there exists any studies which tries to explain the market anomaly known as "The-Day-Of-The-Week effect" or the "Weekend Effect" with news articles or news in general?

What kind of news can impact the stock market in such a way?

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I don't know about the "Weekend Effect" but a paper by Scott R. Baker, Nick Bloom, and Steven J. Davis try to answer to the question What triggers stock market jumps?. They show that some news can indeed impact the stock market.

Drawing on next-­‐day newspaper accounts, they develop new evidence about the forces that trigger large daily jumps in national stock and bond markets. They read and code next-­‐day interpretations of 200 or more daily jumps per country in recent decades, yielding five main results.

  1. The Global Financial Crisis (GFC) of 2008-­‐09 exhibits very high counts of daily equity market jumps around the world. Looking back to 1885 for the U.S., the Great Depression is the only period with equal or greater jump frequency.
  2. U.S. developments trigger equity market jumps across the globe, especially during the GFC. Jumps sourced to the U.S. are hugely more important than jumps sourced to Europe except for European countries, where the counts are similar.
  3. Policy news triggers about 20-­‐25% of equity market jumps in most advanced economies and a larger share in other countries (e.g., China=33%, and India=46%).
  4. News about the macroeconomic performance and outlook accounts for 23-­‐38% of equity market jumps in advanced economies, and less in other countries.
  5. For U.S. government bond yields, news about the macroeconomy triggers 65% of the jumps; adding news about monetary policy as well accounts for 93% of the jumps.

See also Nick Bloom's CEPR Vox column.

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