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Are there Monday effects in Stock Returns: A Stochastic Dominance Approach

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Author Info
Yoon-Jae Whang
Young-Hyun Cho
Oliver Linton ()

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Abstract

We provide a test of the Monday effect in daily stock index returns. Unlike previous studies we define the Monday effect based on the stochastic dominance criterion. This is a stronger criterion than those based on comparing means used in previous work and has a well defined economic meaning. We apply our test to a number of stock indexes including large caps and small caps as well as UK and Japanese indexes. We find strong evidence of a Monday effect in many cases under this stronger criterion. The effect has reversed or weakened in the Dow Jones and S&P 500 indexes post 1987, but is still strong in more broadly based indexes like the NASDAQ, the Russell 2000 and the CRSP.Keywords: Efficient Markets; stock market anomalies; subsamplingJEL Classification: C12, C14, C15, G13, G14 

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Paper provided by Financial Markets Group in its series FMG Discussion Papers with number dp568.

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Date of creation: Sep 2006
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Handle: RePEc:fmg:fmgdps:dp568

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  1. Lonjid, Iveel, 2009. "Stochastic Dominance in Stock Market Special Days," MPRA Paper 17141, University Library of Munich, Germany, revised 07 Sep 2009. [Downloadable!]
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This page was last updated on 2009-11-16.

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