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The dynamics of the Monday effect in international stock indices

  • Keef, Stephen P.
  • Khaled, Mohammed
  • Zhu, Hui

This examination of the temporal dynamics of the international Monday effect is based on 50 countries. Observed between-country differences are characterised by an economic factor based on four indices. The prior day effect captures the tendency for price changes to follow those on the prior day. A bad (good) day occurs when the price change on the prior day is negative (positive). A panel regression with panel corrected standard errors, is used to characterise the way that the Monday effect and the cognate prior day effect systematically vary between countries over the period 1994 to 2006. At the start of the data in 1994, there is a considerable prior day effect which is larger for poor countries. This between-country difference declines over time and has essentially disappeared by 2006. The bad non-Monday effect and the bad-Monday effect also decline over time. Further analysis with six leading economies provides evidence that the prior day influence on Mondays and non-Mondays dates back to at least 1973.

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Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 18 (2009)
Issue (Month): 3 (June)
Pages: 125-133

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Handle: RePEc:eee:finana:v:18:y:2009:i:3:p:125-133
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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