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.
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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
e Tuesday instead of the more common Monday effect (Guo and Wang, 2007)
A study of day of the week effect in Karachi Stock Exchange during different political regimes in Pakistan
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].
CONVENTIONAL AND ISLAMIC ANOMALIES IN KARACHI STOCK EXCHANGE
We have used four weekday dummies namely Tuesday dummy, Wednesday dummy, Thursday dummy and Friday dummy with the constant signifying the Monday effect.
An empirical study on day of the week effect among stocks of selected banks in India
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.
Testing calendar effect on Nigerian stock market returns: methodological approach
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.
Day of the week effect in central European stock markets/Efekt dne tydnu na kapitalovych trzich ve stredni Evrope
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?
Tong (2000) concluded that a Monday effect existed in the U.
The day-of-the-week effect on the Santiago stock exchange of Chile
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
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.
Day-of-the-week effect: further empirical evidence

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