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The empirical results show significant positive Monday effect on the expected market volatility, and significant negative impact of the day of the options expiration.
Most commonly researched among these is the Monday effect, which implies that the mean stock returns on Mondays are much lesser than returns on the other working days of the week while the highest average stock returns are normally discovered on Fridays over majority of the global financial markets (Mitra & Khan, 2014).
The study fails to find a negative Monday effect and positive January effect.
The competition regulator has said it has observed a so-called "Monday effect" of prices falling on Mondays.
We have used four weekday dummies namely Tuesday dummy, Wednesday dummy, Thursday dummy and Friday dummy with the constant signifying the Monday effect. A significant value of a weekday dummy indicates presence of the day of the week effect for that weekday.
Good News, Bad News: Volume and the Monday Effect; Journal of Business Finance and Accounting, 20, 881-892.
Application of regression models with dummy variables leads to conclusion that DWE was present only in the Czech (decreasing Monday effect) and Hungarian (increasing Friday effect) stock markets during the crisis.
One of these anomalies is the day-of-the-week or Monday effect. 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.S.
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.