Twist-of-the-Monday Effect: Evidence from United State and 18 Selected European Union Stock Markets
AbstractThis 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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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 31 (2011)
Issue (Month): 4 ()
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Twist-of-the-Monday Effect; European Union Stock Markets;
Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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- 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.
- 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.
- JosÃ© 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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