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."
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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.
Wall Street Words: An A to Z Guide to Investment Terms for Today's Investor by David L. Scott. Copyright © 2003 by Houghton Mifflin Company. Published by Houghton Mifflin Company. All rights reserved. All rights reserved.
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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.
The behavior of option's implied volatility index: a case of India VIX
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).
A study of day of the week effect in Karachi Stock Exchange during different political regimes in Pakistan
The study fails to find a negative Monday effect and positive January effect.
CONVENTIONAL AND ISLAMIC ANOMALIES IN KARACHI STOCK EXCHANGE
The competition regulator has said it has observed a so-called "Monday effect" of prices falling on Mondays.
Spain Suspects Oil Companies of Forming Price Cartel
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.
An empirical study on day of the week effect among stocks of selected banks in India
Good News, Bad News: Volume and the Monday Effect; Journal of Business Finance and Accounting, 20, 881-892.
Testing calendar effect on Nigerian stock market returns: methodological approach
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.
Day of the week effect in central European stock markets/Efekt dne tydnu na kapitalovych trzich ve stredni Evrope
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.
Are Gulf Cooperation Council stock markets special?
Both Rogalski (1984) and Harris (1986) show that the negative Monday effect primarily occurs between Friday close and Monday open.
Speculative short sellers, put options and the weekend effect: a closer examination
Erickson, 1997, "A New Look at the Monday Effect," Journal of Finance 52, 2171-2186.
Short selling and the weekend effect for NYSE securities
The anomalies are: the day-of-the-week effect, the holiday effect and the twist on the Monday effect.
Seasonal effects on the Bovespa index/Efeitos sazonais no indice Bovespa

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