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Volume :8 Issue : 3 2001      Add To Cart                                                                    Download

A Historical Look at the Monday effect

Auther : Amani K. Bouresli and Fayez A. Abdulsalam

This paper provides further evidence on the well-Known Monday effect. We show that Monday effect occurs primarily in the last two weeks (fourth and fifth) of the month. According to the estimated regression model based on the DJIA index this result holds for most of the sub-periods during (1901-1998) sampling period. Furthermore, we found little evidence to support one of the potential explanations for our findings that the Monday effect is largely caused by the highly positive return of the previous trading day, since there was no significant correlation between Monday’s return and prior day return. Finally, we also found that although the effect of the Monday anomaly has decreased over the last two decades, however; it is still significantly less than all other days of the week.

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Nov 19, 2019

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