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The dynamics of the Monday effect in international stock indices

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

Abstract

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.

Suggested Citation

  • Keef, Stephen P. & Khaled, Mohammed & Zhu, Hui, 2009. "The dynamics of the Monday effect in international stock indices," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 125-133, June.
  • Handle: RePEc:eee:finana:v:18:y:2009:i:3:p:125-133
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    4. Auer, Benjamin R. & Rottmann, Horst, 2014. "Is there a Friday the 13th effect in emerging Asian stock markets?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 1(C), pages 17-26.
    5. Balaban, Ercan & Ozgen, Tolga & Karidis, Socrates, 2018. "Intraday and interday distribution of stock returns and their asymmetric conditional volatility: Firm-level evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 905-915.
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    8. Mohammed S. Khaled & Stephen P. Keef, 2014. "On the dynamics of international stock market efficiency," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-11, December.

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