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The day-of-the-week anomaly: the role of institutional investors in Japan

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  • Wentworth Boynton
  • Henry Oppenheimer
  • Sean Reid

Abstract

A large 'day-of-the-week' literature shows abnormal losses on Mondays. Recent articles for US stocks focus on the role of the type of investor. The central idea in these articles is that the marginal-price setting changes on Monday. To identify the type of investor, these articles look at the proportion of stock ownership held by individuals and institutions. For an out-of-sample test to the US market studies, we study the Japanese stock market. Consistent with the US results, Japanese day-of-the-week patterns show Monday losses and strong Monday losses predicted by Friday losses. However, we find no evidence that the type of investor influences the Monday loss or Friday-to-Monday autocorrelation.

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  • Wentworth Boynton & Henry Oppenheimer & Sean Reid, 2009. "The day-of-the-week anomaly: the role of institutional investors in Japan," Applied Economics Letters, Taylor & Francis Journals, vol. 16(7), pages 669-676.
    • Handle: RePEc:taf:apeclt:v:16:y:2009:i:7:p:669-676
    DOI: 10.1080/17446540802260894
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