Monday effect

Monday Effect

The belief that securities market returns on Mondays are less than the other days of the week, and are often negative on average. This effect has been observed in both American and foreign exchanges. Studies have documented it since the 1920s, but no theory has adequately explained the reasons it exists. Studies have suggested the existence of a Monday effect for a diverse range of securities, from equities to debt to commodities. However, since the mid-1970s or mid-1980s (depending on the study and methodology), large firm securities seem to have exhibited what might be called a 'reverse Monday effect,' in which differences between Monday trading and the rest of the week are not statistically significant. Small firm securities have continued to exhibit the Monday effect. It is also known as the "weekend effect."

Monday effect

The tendency of stocks to produce lower-than-average returns on Mondays compared to other days of the week. One study indicated most of the poor performance during Mondays occurs during the first hour of trading.
References in periodicals archive ?
The empirical results show significant positive Monday effect on the expected market volatility, and significant negative impact of the day of the options expiration.
e Tuesday instead of the more common Monday effect (Guo and Wang, 2007)
General market calendar anomalies include the weekend or Monday effect [3,4,5] the January effect [6], the Turn of the month (TOM) effect [7,8], the holiday effect [7], and half month effect [7].
We have used four weekday dummies namely Tuesday dummy, Wednesday dummy, Thursday dummy and Friday dummy with the constant signifying the Monday effect.
Kok and Worts, using ordinary least Square (OLS) method found that day of the week effect did exist in Malaysia with a negative Monday effect and positive Wednesday and Friday effect for the pre-crisis period of 1996.
The only notable feature of the results is that the Monday effect in volatility (variance) tends to be present in more indices in the post accession than in the pre accession EU period.
The Monday effect happens when returns are lower or negative on Mondays in comparison with the returns on other days of the week.
Tong (2000) concluded that a Monday effect existed in the U.
Both Rogalski (1984) and Harris (1986) show that the negative Monday effect primarily occurs between Friday close and Monday open.
Erickson, 1997, "A New Look at the Monday Effect," Journal of Finance 52, 2171-2186.
The anomalies are: the day-of-the-week effect, the holiday effect and the twist on the Monday effect.
In the US stock market the mean Monday stock return has been found to be negative or significantly lower than the non-Monday return in addition, mean stock return on Fridays is significantly higher than that of other days by Cross (1973), French (1980), Gibbons and Hess (1981), Lakonishok and Levi (1982), Rogalski (1984), Keim and Stambaugh (1984), Smirlock and Starks (1986), Harris (1986), Lakonishok and Smidt (1988), Mehdian and Perry (2001), among others document the Monday effect or other daily anomalies in the US stock market.