Article1997

A New Look at the Monday Effect

212 citations0/0 files storedThe Journal of Finance

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Stock Market Forecasting Methods

Abstract

ABSTRACT It is well documented that expected stock returns vary with the day‐of‐the‐week (the Monday or weekend effect). In this article we show that the well‐known Monday effect occurs primarily in the last two weeks (fourth and fifth weeks) of the month. In addition, the mean Monday return of the first three weeks of the month is not significantly different from zero. This result holds for most of the subperiods during the 1962–1993 sampling period and for various stock return indexes. The monthly effect reported by Ariel (1987) and Lakonishok and Smidt (1988) cannot fully explain this phenomenon.

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References

1980Stock returns and the weekend effect 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective 1984A Further Investigation of the Weekend Effect in Stock Returns 1987A monthly effect in stock returns 1990The Weekend Effect: Trading Patterns of Individual and Institutional Investors 1984New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note 1982Weekend Effects on Stock Returns: A Note 1990Indexes of U.S. Stock Prices from 1802 to 1987

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2003Role of Speculative Short Sales in Price Formation: The Case of the Weekend Effect 2003A Survey of the Monday Effect Literature 2004The Day-of-the-Week Effect in Stock Returns : Further Evidence from Eastern European Emerging Markets 2007Are there Monday effects in stock returns: A stochastic dominance approach 2006Day‐of‐the‐week and other market anomalies in the Indian stock market 2004The Impact of Institutional Investors on the Monday Seasonal

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