Investigation of Monday Effect in the American and Chinese Stock Markets

Abstract

This paper investigates the presence of the Monday effect in the American and Chinese stock markets. The data uses the Russell 1000 index from the American stock market, as well as the Gem composite index from the Chinese stock market in the period 2012 to 2021. Moreover, this paper chooses the GARCH model and the ARMA-GARCH model to investigate the Monday effect in two different stock markets. As a result, there is no evidence to find the presence of the Monday effect in the two stock markets. Nonetheless, there is still the existence of the calendar effect in the two stock markets. We ensure the credibility of results by checking for the potential bias of COVID-19 pandemic, by omitting the last two years from the data and also changing the estimation method to OLS. Results remain parallel to our main empirical findings.