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Japanese day-of-the-week return patterns: New results

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Author Info
Boynton, Wentworth
Oppenheimer, Henry R.
Reid, Sean F.
Abstract

We make tests on day-of-the-week stock market return patterns for Japan. We find that until the 1990s, Tuesdays have abnormal losses; in the 1990s, Tuesday losses disappear and Mondays have abnormal losses. Tests find that volume changes drive out the Monday loss.

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File URL: http://www.sciencedirect.com/science/article/B6W4F-4VXB8W6-1/2/460fbc3df43707484470e5a442e4283e
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Publisher Info
Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 20 (2009)
Issue (Month): 1 ()
Pages: 1-12
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Handle: RePEc:eee:glofin:v:20:y:2009:i:1:p:1-12

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Web page: http://www.elsevier.com/locate/inca/620162

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Related research
Keywords: Day-of-the-week return patterns;

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This page was last updated on 2009-12-30.

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