Abstract
This study introduces business cycles to analyze a twist on the Monday effect and extends the analysis to OTC stocks. We find that OTC stocks do not share the same common twist on the Monday effect as exchange-listed stocks. For OTC stocks, the twist on the Monday effect is not a robust explanation of the negative returns on Mondays. For the S & P and NASDAQ indexes, periods of economic contraction experience a more pronounced negative returns on Mondays than expansionary periods following market declines. Following market advances, the negative returns on Mondays are insensitive to the level of economic activity.
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