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Twist-of-the-Monday Effect: Evidence from United State and 18 Selected European Union Stock Markets

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  • Chia Ricky Chee-Jiun

    ()
    (Labuan school of International Business and Finance, Universiti Malaysia Sabah)

  • Lim Shiok Ye

    ()
    (Labuan School of International Business and Finance, Universiti Malaysia Sabah.)

Abstract

This study found evidence on the twist-of-the-Monday effect, where returns on Mondays are influenced by the previous week's returns in Finland, Greece, Hungary, Netherlands, Portugal and Sweden stock markets. Interestingly, the tendency to follow previous week return is not limited to Monday only. Friday returns are also found to be influenced by the market performance of the previous week in Finland and Poland stock markets. Thus, international investors may benefit from the twist-of-the-Monday effect in developing a suitable trading strategy to obtain extra returns from these markets.

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File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I4-P282.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 31 (2011)
Issue (Month): 4 ()
Pages: 3113-3122

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Handle: RePEc:ebl:ecbull:eb-11-00610

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Keywords: Twist-of-the-Monday Effect; European Union Stock Markets;

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  1. Madureira, Leonardo L. & Leal, Ricardo P. C., 2001. "Elusive anomalies in the Brazilian stock market," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 123-134.
  2. Shiok Ye Lim & Chong Mun Ho & Brian Dollery, 2010. "An empirical analysis of calendar anomalies in the Malaysian stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 20(3), pages 255-264.
  3. José Fajardo & Rafael Pereira, 2008. "Seasonal Effects on the Bovespa Index," Brazilian Business Review, Fucape Business School, vol. 5(3), pages 233-241, September.
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