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The Impact of Institutional Investors on the Monday Seasonal

Author

Listed:
  • Su Han Chan

    (Department of Finance, California State University-Fullerton)

  • Wai-Kin Leung

    (Faculty of Business Administration, Chinese University of Hong Kong)

  • Ko Wang

    (Department of Finance, California State University-Fullerton)

Abstract

It is well documented that the mean Monday return is significantly negative and is lower than the mean return on other weekdays. Using institutional stock holdings information during the 19811998 period, we document that the Monday seasonal is stronger in stocks with low institutional holdings and that the Monday return is not significantly different from the mean Tuesday to Friday returns for stocks with high institutional holdings during the 19901998 period. Our study provides direct evidence to support the belief that the Monday seasonal may be related to the trading activities of less sophisticated individual investors.

Suggested Citation

  • Su Han Chan & Wai-Kin Leung & Ko Wang, 2004. "The Impact of Institutional Investors on the Monday Seasonal," The Journal of Business, University of Chicago Press, vol. 77(4), pages 967-986, October.
    • Handle: RePEc:ucp:jnlbus:v:77:y:2004:i:4:p:967-986
    DOI: 10.1086/422630
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