Explaining Monday returns

Paudyal, K.; Draper, P.

Abstract

The Monday effect is reexamined 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.

Citation

Paudyal, K., & Draper, P. (2002). Explaining Monday returns. Journal of Financial Research, 25(4), 507-520. https://doi.org/10.1111/1475-6803.00034

• Journal Article Type: Article
• Publication Date: Dec 1, 2002
• Deposit Date: Feb 19, 2008
• Journal: Journal of Financial Research
• Print ISSN: 0270-2592
• Electronic ISSN: 1475-6803
• Publisher: Wiley
• Peer Reviewed: Peer Reviewed
• Volume: 25
• Issue: 4
• Pages: 507-520
• DOI: https://doi.org/10.1111/1475-6803.00034
• Public URL: https://durham-repository.worktribe.com/output/1601151