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Explaining Monday Returns

Author

Listed:
  • Paul Draper
  • Krishna Paudyal

Abstract

The Monday effect is reexamined using two stock indexes and a sample of 452 individual stocks that trade on the London Stock Exchange. The results based on conventional test methods reveal a negative average return on Monday. Extending the analysis to examine the effects of various possible influences simultaneously, the average Monday return becomes positive and does not differ significantly from the average returns of most other days of the week. Fortnight, ex‐dividend day, account period, (bad) news flow, trading activity, and bid‐ask spread effects are all controlled for. The results broadly support the trading time hypothesis.

Suggested Citation

  • Paul Draper & Krishna Paudyal, 2002. "Explaining Monday Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(4), pages 507-520, December.
    • Handle: RePEc:bla:jfnres:v:25:y:2002:i:4:p:507-520
    DOI: 10.1111/1475-6803.00034
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    Cited by:

    1. Gerardo ¡°Gerry¡± Alfonso Perez, 2018. "Monday Effect in the Chinese Stock Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 9(1), pages 1-7, January.
    2. Richards, Daniel W. & Willows, Gizelle D., 2018. "Who trades profusely? The characteristics of individual investors who trade frequently," Global Finance Journal, Elsevier, vol. 35(C), pages 1-11.
    3. M. Imtiaz Mazumder & Edward M. Miller & Oscar A. Varela, 2010. "Market Timing the Trading of International Mutual Funds: Weekend, Weekday and Serial Correlation Strategies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(7-8), pages 979-1007.
    4. Luo, Kevin & Tian, Shuairu, 2020. "The “Black Thursday” effect in Chinese stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    5. Giovanis, Eleftherios, 2009. "Bootstrapping Fuzzy-GARCH Regressions on the Day of the Week Effect in Stock Returns: Applications in MATLAB," MPRA Paper 22326, University Library of Munich, Germany.
    6. Nickolaos Tsangarakis, 2007. "The day-of-the-week effect in the Athens Stock Exchange (ASE)," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1447-1454.
    7. Giovanis, Eleftherios, 2009. "Calendar Effects and Seasonality on Returns and Volatility," MPRA Paper 64404, University Library of Munich, Germany.
    8. Ruchika Gahlot & Saroj Kumar Datta, 2012. "Impact of future trading on stock market: a study of BRIC countries," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 29(2), pages 118-132, June.
    9. Brian Lucey, 2004. "Robust estimates of daily seasonality in the Irish equity market," Applied Financial Economics, Taylor & Francis Journals, vol. 14(7), pages 517-523.
    10. Hira Irshad & Hasniza Mohd Taib, 2017. "Calendar anomalies: Review of literature," Journal of Advances in Humanities and Social Sciences, Dr. Yi-Hsing Hsieh, vol. 3(6), pages 303-310.
    11. Shahid Raza & Sun Baiqing & Imtiaz Hussain & Pwint Kay-Khine, 2023. "Do good and bad news affect the day of the week effect? An analysis of the KSE-100 Index," SN Business & Economics, Springer, vol. 3(7), pages 1-22, July.
    12. M. Imtiaz Mazumder & Edward M. Miller & Oscar A. Varela, 2010. "Market Timing the Trading of International Mutual Funds: Weekend, Weekday and Serial Correlation Strategies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(7‐8), pages 979-1007, July.

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