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.
Previous studies on stock returns anomalies found out significant negative Monday effect, hence in our model (the volatility index) the slope of Monday should appear positive and statistically significant.
We help individuals, organizations and groups leverage Monday, the start of the week, to keep moving in the right direction," said Sid Lerner, founder and chairman of The Monday Campaigns, which supports research and public health campaigns based on the Monday effect.
We have used four weekday dummies namely Tuesday dummy, Wednesday dummy, Thursday dummy and Friday dummy with the constant signifying the Monday effect.
It is observed that for Bank of Baroda, there is negative Monday effect (with B1 co-efficient of-0.
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.
Erickson, 1997, "A New Look at the Monday Effect," Journal of Finance 52, 2171-2186.
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.
Wang, Li, and Erickson (1997) find that the Monday effect occurs primarily in the last two weeks (the fourth and fifth weeks) of the month.
A Twist on the Monday Effect in Stock Prices: Evidence from the U.
If the Egyptian stock market exhibits a traditional Monday effect, then a) the estimated coefficient [[beta].