Either one could be used interchangeably. It just depends on your style and the tone you want to create, but most modern authors prefer to drop the tags altogether unless they are absolutely necessary. However, both of those should be commas, not periods:
"Hey," Connor said.
"Hey," said Connor.
The tags in both of these examples would be sentence fragments on their own, and are part of the same thought as the sentence.
"Hey," Connor said, lifting his chin toward the Cute Girl in greeting.
"Hey!" Connor slammed his racket on the ground.
In these examples, the first tag is still connected with the dialogue while the second is followed by an action that is a complete thought. Comma on the first, exclamation or period on the second. Hope that helps. 
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