Monday Effect Research Articles

Calendar anomalies: a survey of the literature

The specific purpose of this paper is to investigate the empirical evidence of stock price anomalies, especially day-of-the-week, month-of-the-year and the holiday effect. The review covers the critical evaluation of calendar anomalies, and the major focus has been given to extensively cited papers. Most of the researchers have found evidence of a negative Monday effect, though a relatively small number of researchers have refuted these results. We found a clear indication of a January effect in developed stock markets; however, there was no consensus in developing and least developed countries. Most of the researchers found a strong pre-holiday effect in the majority of markets; however, a few researchers found that the pre-holiday effect has diminished. The research could be extended to include other calendar anomalies such as the turn-of-the-month effect and semi-month effect. This research is helpful to all stakeholders of the stock market, specifically to regulators for maintaining market efficiency.

Stock-Return Volatility and Daily Equity Trading by Investor Groups in Korea

We examine the short-run relationship between stock-return volatility and daily equity trading by several investor groups in the Korean Stock Exchange. We also investigate whether trade characteristics and trading styles can explain the potential distinct volatility effects of these investor groups. For large stocks, we find that whether a trade is a purchase or a sale and whether it is a contrarian or a momentum trade does not play a role in the relation between volatility and trading. It is the trading of informed institutional investors against non-informed individual investors that drives volatility and produces a negative volatility effect. We further show that net foreign trading has a non-decreasing impact on volatility. Our results are robust to alternative measures of volatility and obtained after controlling for a Monday effect, volatility persistency, total volume and lagged stock returns.

PENGUJIAN MONDAY EFFECT PADA BURSA EFEK INDONESIA DAN BURSA EFEK SINGAPURA

The study attempts to examine the influence of Monday effect on stock return. The Monday effect is an example of a seasonal anomaly that is when the stock return is significantly negative on Monday. The variable used is the return index. The population in this study is the Indonesian Stock Exchange and the Singapore Stock Exchange. The samples used were LQ45 and the Straits Times Index (STI) in the period January 2010 - December 2012. Statistical methods were used to test the hypothesis covering ANOVA, multiple regression, linear regression. First, it can be concluded that there is no effect on the phenomenon Monday LQ45 and STI during the period 2010-2012. Second, it can also be concluded that the returns on Monday in LQ45 and STI are not concentrated at week 4 and week 5 during the period 2010-2012. The third results in this study it can be concluded that the LQ45 index returns and STI on Monday systematically unpredictable based on market conditions Friday the previous week during the period 2010-2012.

Does Mood Explain the Monday Effect?

ABSTRACTA number of studies have explored the sources of the Monday effect, according to which returns are on average negative on Mondays. We contribute to the literature by exploring whether a direct measure of mood explains the Monday effect. In line with psychological literature, a greater proportion of investors are more pessimistic in the early days of the week, and become more optimistic as the week progresses. We use novel daily mood data from Facebook across 20 international markets to explore the impact of mood on the Monday anomaly. We find that the Monday effect disappears after controlling for mood. In line with our hypothesis that mood drives the Monday effect, we find that the effect is more prominent within small capitalization indices and within collectivist and high‐uncertainty‐avoidance countries. Investors could consider mood levels to forecast Mondays with more (less) pronounced negative returns. Copyright © 2014 John Wiley & Sons, Ltd.

Analyzing the Existence of the Day of the Week Effect in Selected Emerging Country Stock Exchanges

Calendar anomalies, specifically Day of the Week (DoW) effect, have attracted considerable attention by academicians and practitioners during the last decades. This study investigates the existence of DoW effect in 13 emerging stock markets by utilizing an observation period of 12 years. Whereas the findings of the study reveal the presence of negative Monday effects for Indonesia, Malaysia, and Thailand; positive Monday returns are found in South Africa contrary to expectations. Furthermore; positive Friday returns are observed in 9 of the markets belonging to Argentina, Brazil, Bulgaria, Indonesia, Malaysia, Romania, Thailand, Tunisia, and Turkey. Additional results document the presence of positive Wednesday and Thursday returns for most of the markets analyzed.

The Monday Effect in the Dow Jones Industrial Average and Its Component Stocks: A Three Period Comparative Analysis from 1962 to 2012

The Monday Effect in the Dow Jones Industrial Average and Its Component Stocks: A Three Period Comparative Analysis from 1962 to 2012

A New Approach in the Examination on the Day-of-the Week Effect Using Fuzzy Rule Based Regressions

In this paper a new approach for the investigation of the week effect is proposed. Specifically, fuzzy dummy variables are created based on three fuzzy membership functions. The first one is the log-sigmoid, the second is the Gaussian and the last one is the triangle fuzzy membership function of the stock returns of each trading day of the week. The results are compared with those of the asymmetric GARCH models. The main advantage of this approach is to capture the Monday and the reverse Monday effect or any other daily pattern based on specific rules and intervals of stock returns. Furthermore the fuzzy regressions are not determined by the disturbance term and we show that there are not autocorrelation and heteroskedasticity problems as also ARCH effects with simple ordinary least squares method. This methodology is very useful for financial traders and fund managers to allocate their assets on the portfolio by buying and selling when a specific rules takes place, in an optimum way and with purpose the maximization of the profits.

Testing the Calendar Anomalies for BIST City Indexes with Symmetric and Asymmetric GARCH Models

Except from being an indicator of regional development, city indexes formed in the area of finance by Borsa Istanbul might be a significant guide for investors while deciding on an investment in the relevant city. Due to the fact that the main purpose of these indexes is to monitor the price and return performances of companies in the same city, it is possible to compare the performances on the basis of the cities. In this study, the existence of the dayof-the-week (DOW) anomaly is investigated with GARCH and EGARCH specifications for each city indexes. According to estimated model results, EGARCH specification gives more consistent results for Bursa, Istanbul, Izmir and Kayseri city index series. However, positive Monday effect is observed on mean returns for Bursa city index which mostly contains stocks of manufacturing sector. Further, the results provide evidence that return volatility changes through weekdays in Antalya, Kayseri and Tekirdag city indexes

Daily seasonality in crude oil returns and volatilities

In this article, we test for the existence of daily seasonality in returns and volatilities of crude oil. Using a dummy-augmented GARCH specification for the period from May 1987 to October 2013, our key findings are as follows: (i) Volatilities on Mondays are significantly higher than on all other weekdays, providing the important insight that seasonal effects should be considered when forecasting crude oil volatility. (ii) Returns on the other hand tend to be lower on Mondays than on other weekdays, suggesting profitable investment strategies based on this seasonal pattern. In fact, the analysis of a simple long-short trading rule based on the Monday effect provides some evidence that it can outperform a passive buy-and-hold approach. However, it cannot do so to an extent that is statistically significant. (iii) Our seasonality results are fairly robust to the choice of other frequently used GARCH model variants, like GARCH-M, TGARCH and CGARCH.

Day of the Week Effect of Stock Returns: Empirical Evidence from Colombo Stock Exchange

Many empirical studies have been carried out both in the developed and developing economies to test the presence of anomalies in stock returns and volatility. The most commonly tested seasonal anomalies are day of the week effect, month of the year effect, holiday effect, Monday effect and Friday effect. Previous studies strongly support the existence of seasonal anomalies. Existence of seasonal anomalies let the investors to earn abnormal returns by trading on past information. This study attempts to test whether the day of the week effect is present in the stock returns of the Colombo Stock Exchange. For this purpose, stock returns based on ASPI for the period of 2002 to 2011 with 2390 observation are taken into account. The day of the week effect hypothesis is tested using both OLS model and GARCH (1,1) model. The research provides strong evidence to support the day of the week effect. Furthermore, there is a Thursday, Wednesday and Friday effect in the stock returns. Thus, investors can earn abnormal returns by trading on a strategy based on past information. It is recommended to buy stock on Mondays and Tuesdays and sell them on Wednesdays, Thursdays and Fridays to earn abnormal returns.DOI: http://dx.doi.org/10.4038/kjm.v1i2.6451 Kelaniya Journal of Management Vol.1(2) 2012:16-27

The Occurrence of the Day-of-the-Week Effects on Polish and Major World Stock Markets

Abstract The aim of this paper is to analyze the occurrence of the so called day of the week effects in market return time series from the period of January 2003 to September 2013 (and additionally January 1999 to December 2002). The study focuses on four indices of the Warsaw Stock Exchange (WIG, WIG20, mWIG40 and sWIG80) and additionally five indices of major world stock exchanges (NIKKEI 225, DAX, CAC40, S&P 500, and IBEX). The main data sample was divided into three subperiods in order to determine whether or not the intensity of day of the week anomalies is constant in time. The study revealed a substantial number of the day of the week anomalies in earliest subperiods and very limited evidence of those effects in later ones, giving rise to the conclusion that the intensity of the day of the week anomalies is diminishing with time. The most common effect identified on the WSE was a positive Friday effect. The Monday effect often described in early literature on the subject matter seems to currently occur very rarely. The study also indicates that the day of the week effects were more persistent among stocks with smaller market capitalization on the WSE.

PENGUJIAN MARKET EFFICIENCY: PEMBUKTIAN FENOMENA ANOMALI PASAR PADA STRAIT TIMES INDEX DI BURSA EFEK SINGAPURA

Market efficiency has become a vital discussion so far. Therefore, it is a good effort when the study attempts to analyze factors in market efficiency. This study tries to investigate the existence of the market anomalies such as Monday Effect, Week-four Effect, and January Effectin Singapore Stock Exchange during the period of 1 January 2010 to 31 December 2012.Using non-random sampling technique, especially the purposive sampling, this study took 27 companies from the Strait Times Index as the sample of this study. The data used in this research comes from the daily closing prices of the samples. The three hypotheses are tested by means of independent sample t-test. The result shows that there is no evidence of the market anomalies phenomenon on Strait Times Index. Neither of Monday Effect, Weekfour Effect, and January Effect exist in Singapore Stock Exchange during the period of this study. The disappearance of this phenomenon is suspected as a result of the global economic crisis which led to changing the investors trading behavior in capital market. Furthermore, the characteristic of the Singaporean investor and the Governments policy about tax regulation are also another reason why this phenomenon doesnt exist in Strait Times Index.

Calendar anomalies in Russian stocks and bonds

Purpose– The paper aims to examine the Russian stock and bond markets for evidence of calendar anomalies in the first decade of the twenty-first century including a monthly seasonality, weekday seasonality, and a turn-of-the-month (TOM) seasonality. The study is motivated by interest in the Russian transition to a free market economy and provides an opportunity to examine an important emerging market in the process of transition, while adding to the extensive body of research on calendar anomalies.Design/methodology/approach– Parametric and non-parametric tests are used to examine two Russian stock indices and two Russian bond indices for evidence of persistent calendar patterns in daily returns. The paper also includes in the study a US bond index and US stock index.Findings– There is strong evidence of a persistent monthly pattern (but no January effect) and strong evidence of weekday seasonality (but no Monday effect) in the Russian bond market. There is also strong support for a TOM effect in the Russian and US stock and bond markets.Research limitations/implications– The stock return data cover a ten-year period covering two recessions, two bull markets, and two bear markets, including the 2008 crisis. The bond market data are limited to six years of data and the results may be biased by the time period analyzed.Originality/value– This is the first study, to the knowledge, that extensively examines the Russian stock and bond markets for evidence of calendar anomalies and finds a significant monthly pattern in Russian bonds.

Day of the Week Effect: Evidence from India

The day of the week effect is a well-documented calendar anomaly. This study investigates the presence of this effect in the Indian stock market during 1990 to 2013, using GARCH framework with three distribution assumptions. The results indicate that the traditional Monday effect is non-existent in the two leading market indices. In contrast, a positive Monday effect in Sensex and a positive Wednesday effect in Nifty are present in the entire sample period. The results remain robust to the distribution assumptions and sub-periods.

Moon Phases, Mood and Stock Market Returns

We employ recent data from 59 international emerging and mature stock markets to provide new evidence of a lunar cycle (full and new moon) effect on their stock market returns. Using a threshold generalised autoregressive conditional heteroscedasticity (TGARCH) model, we further examine the linkages between efficient-market theory, calendar-related effects and investors’ mood resulting from moon phases. The empirical results show significant full moon effects in six markets, and significant new moon effects in eight markets. In line with the theory, we report significant positive effect of new moon on stock market returns in five cases (UK, Switzerland, Bangladesh, Chile and Cyprus), while a negative effect of full moon is reported for the case of Jordan only. In addition, we find that lunar effects are strongly influenced by the calendar anomalies (Monday effect and January effect); several markets—mostly emerging markets—show evidence of full/new moon effects as well as Monday/January effects (Bangladesh, Brazil, Chile, Tunisia, Belgium, Cyprus). Further, we prove that the lunar phases are stronger outside America. These findings are recommended to investors, financial managers and analysts dealing with international stock indices. JEL Classification: G02, G14, G15

Calendar effects of the Chinese stock markets

Drawing upon extant literature on the impact of calendar effects (daily effect and monthly effect) on the stock markets, the authors employ regression analysis to test the relationship between mean daily returns of trading days and mean returns of the remaining trading days of the week (in effect, calendar effects), on the Chinese stock markets. The study employs observations drawn from the Shanghai and Shenzhen composite stock indices between January 2000 and December 2010. Based on the analysis of the regression results, we find the following. For the tests and results of the day of the week effect, in the Shanghai stock market, there is significantly positive Monday effect and significantly negative Thursday effect. On the other hand, we find a weak Monday effect and Thursday effect in the Shenzhen stock market. For monthly effect, summary statistics of monthly equity returns for both stock markets show the findings of the February effect in China are similar to the January effect in countries where year-end is in December.

The Effect of Weekend Information to Monday’s Banking Index Return in Jakarta Stock Exchange

Capital gain from stock market does not always provide abnormal return to the investor. The level of abnormal return analysis can use Efficient Market Hypothesis to measure the efficiency of the stock market by using event study. The analysis also will use behavioral finance theory to elaborate more on how investors react to the weekend period news and arbitrage theory to know if there is an arbitrage profit that can be captured. The information on the weekend holidays should reflect in the Monday price if the market is efficient. The research will use banking index as the main study because banking index is sensitive to the news especially from financial crisis contagious. The weekend period news will be grouped into the regional and the internal Indonesia news. The results indicate that the banking index of Jakarta Stock Exchange supports the semi-strong efficient market hypothesis in the presence of Indonesia economic, fiscal policy and monetary policy news. The return of the banking index and Jakarta Composite Index on Monday may face overconfidence and anchoring and adjustment bias that can distort the price on Monday. The research shows that banking index underperforms the Jakarta Composite Index. This shows that the existence of Monday Effect anomaly is rejected. The Jakarta Composite Index is affected by the availability of the news from Japan, world news and Indonesia economy news. News that may affect each index can be specified into the exposure of the industry.

Day-of-the-week effect on the VIX. A parsimonious representation

The study of significant deterministic seasonal patterns in financial asset returns is of high importance to academia and investors. This paper analyzes the presence of seasonal daily patterns in the VIX and S&P 500 returns series using a trigonometric specification. First, we show that, given the isomorphism between the trigonometrical and alternative seasonality representations (i.e., daily dummies), it is possible to test daily seasonal patterns by employing a trigonometrical representation based on a finite sum of weighted sines and cosines. We find a potential evolutive seasonal pattern in the daily VIX that is not in the daily S&P 500 log-returns series. In particular, we find an inverted Monday effect in the VIX level and changes in the VIX, and a U-shaped seasonal pattern in the changes in the VIX when we control for outliers. The trigonometrical representation is more robust to outliers than the one commonly used by literature, but it is not immune to them. Finally, we do not find a day-of-the-week effect in S&P 500 returns series, which suggests the presence of a deterministic seasonal pattern in the relation between VIX and S&P 500 returns.

Calendar anomalies in REITs: international evidence

Purpose – The purpose of this paper is to determine the relative magnitude of calendar anomalies in international Real Estate Investment Trusts (REITs). The anomalies are the prior day effect, the Monday effect, the turn‐of‐the‐month effect and the January effect. The results are based on 14 countries. The corresponding stock index is used as the reference by which to gauge the anomalous behaviour of each REIT.Design/methodology/approach – There are two primary dimensions to the statistical design. Between‐country differences, based on Gross Domestic Product (GDP) and a measure of shareholder protection, are examined using a panel model. Differences between the REITs and their stock index are examined using a repeated measures dependent variable design.Findings – The presence of the four calendar anomalies is apparent in the REITs and the stock indices. There is not sufficient evidence to show that the magnitudes of the Monday, the turn‐of‐the‐month and the January anomalies differ between REITs and stock...

A note on the turn of the month and year effects in international stock returns

This examination of the turn of the month (TOM) and turn of the year (TOY) effects in 50 international stock indices, for the period 1994–2006, characterises the degree that the effects are influenced by: (i) the gross domestic product of the economy, (ii) the sign of the return on the prior day (called the prior day effect), (iii) a temporal indicator and (iv) the Monday effect. These effects are assessed by the use of an estimated generalised least squares (EGLS) panel regression model incorporating panel-corrected standard errors. Three important results relating to the TOM and TOY effects are observed. When the prior day effect on control days is used as the reference and controls are made for market development and year, we find that: (i) there is a relatively enhanced return on all TOM days, (ii) there is a relatively enhanced return on good TOY days and (iii) returns of bad TOY days are not remarkable.