Explaining Monday Returns

Posted: 9 Dec 2001

Abstract

The Monday effect is re-examined using two stock indexes and a sample of 452 individual stocks that trade on the London Stock Exchange. The results based on conventional test methods reveal a negative average return on Monday. Extending the analysis to examine the effects of various possible influences simultaneously, the average Monday return becomes positive and does not differ significantly from the average returns of most other days of the week. Fortnight, ex-dividend day, account period, (bad) news flow, trading activity, and bid-ask spread effects are all controlled for. The results broadly support the trading time hypothesis.

JEL Classification: G12, G14

Suggested Citation

Paudyal, Krishna N. and Draper, Paul, Explaining Monday Returns. Available at SSRN: https://ssrn.com/abstract=283958

Paul Draper

University of Exeter ( email )

Exeter EX4 4QX, Devon
United Kingdom

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