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Explaining Monday returns

Paudyal, K.; Draper, P.

Authors

K. Paudyal

P. Draper



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

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