Monday Returns Research Articles

Reversal of Monday returns: It is the afternoon that matters

This study dissects the well-known Monday return reversal by separating the Monday into a morning and afternoon period. So far, the literature on the Monday return reversal is limited to the analysis of daily, primarily market returns. Using a large cross-section of U.S. intraday stock return data from 2007 to 2022, we find that only Monday afternoon but not morning returns reverse over the rest of the week. The effect is stronger for larger firms and not explained by common risk factors or earnings announcements. It is mostly prevalent for those stocks for which investor disagreement is high on Monday.

Pengaruh Akhir Pekan dan Pengaruh Januari di Bursa Efek Indonesia

Based on the analysis of stock returns during this research period, which refers to year-by-year analysis outlined within the research timeframe, it can be observed that there is a variation in both negative and positive return rates. According to the processed data, it is known that in the year 2022, only Thursday returns had an impact on Monday returns. Thursday in 2022 had a positive influence on Monday returns in 2022. Additionally, based on the processed data, it is also found that in the year 2023, Wednesday and Friday returns could affect Monday returns. Statistically, it is concluded with 95% confidence that Monday trading volume does not affect Monday returns. Furthermore, it is statistically concluded with 95% confidence that January trading volume does not influence January returns. Based on the combined results of 2022 and 2023, it is evident that Stock Prices on Tuesday, Wednesday, and Thursday can influence Stock Prices on Monday. Statistically, it is concluded with 95% confidence that Stock Prices from February to December positively affect Stock Prices in January.

Does the day-of-the-week effect exist in other asset classes? Investigation of the globally listed private equity markets

PurposeThis study aims to investigate the day-of-the-week (DoW) effect in globally listed private equity (LPE) markets using daily data covering the period 2004–2021.Design/methodology/approachTo investigate the existence of the DoW effect in globally LPE markets, ordinary least squares regression, generalised autoregressive conditional heteroscedasticity (GARCH) regression and robust regressions are used. In addition, robustness audits are conducted by subdividing the sampling period into two sub-periods: pre-financial and post-financial crisis.FindingsLimited statistically significant evidence is found for the DoW effect. By taking time-varying volatility into account, a statistically significant DoW effect can be observed, indicating that the DoW effect is driven by time-varying volatility. Economic significance is captured through visual inspection of average daily returns, which illustrate that Monday returns are lower than the other weekdays.Practical implicationsThe results have important implications on whether to adopt a DoW strategy for investors in LPE. The findings show that higher returns on selected days of the week for certain indices are possible.Originality/valueTo the best of the author’s knowledge, this paper provides the first study to examine the DoW effect for globally LPE markets by using LPX indices and contributes valuable insights on this growing asset class.

Calendar anomalies and market volatility in selected cryptocurrencies

This study examines the day-of-the-week and January effects on the top performing cryptocurrencies with the highest capitalization during the sample period. The study uses the daily closing returns of selected currencies for 7 August 2015 to 20 August 2020. The day-of-the-week results indicate that the Monday effect in the daily analysis generated a positive and significant coefficient for all five currencies and this anomaly is present in the cryptocurrency market. However, for all currencies, the December returns showed a significantly higher pattern as compared to January. This tendency indicates some prospects of lucrative trading. However, the evidence of negative Monday returns in this period is somewhat consistent with the relevant empirical literature. The study has some implications for investors, in that they can formulate strategies to produce abnormal returns. Investors and market analysts can form diverse portfolios by combining various cryptocurrencies using the intraday price statistics, and can devise strategies based on the intraday patterns using a similar analysis as that in this study.

Does Friday-Monday Dance with Harmony?

This research is about the weekend effect, a combination of Friday and Monday, and its impact on Monday trading volume. It was found that there was no association between Friday return and Monday return. Still, they occur a combination both Friday and Monday negative return was more than combination both Friday and Monday positive return. There are both combinations (Friday and Monday), and price fluctuation has not affected Monday's volume. There is also no difference in characteristics between groups: Friday and Monday negative return and Friday and Monday positive return. Thus, Friday-Monday dances with harmony; the efficient market occurs.
 Keywords: Weekend Effect; Trading Volume; Liquidity; Risk-Return; Market Efficient

An examination of calendar anomalies: evidence from the Thai stock market

PurposeThe study examines the existence of calendar anomalies, including the day-of-the-week (DOW) effect and the January effect, in the Stock Exchange of Thailand.Design/methodology/approachUsing daily stock returns from March 2014 to March 2019, the study performs regression analysis to examine predictable patterns in stock returns, the DOW effect and the January effect, respectively.FindingsThere is strong evidence of a persistent monthly pattern and weekday seasonality in the Thai stock market. Specifically, Monday returns are negative and significantly lower than the returns on other trading days of the week, and January returns are positive and significantly higher than the returns on other months of the year.Practical implicationsThe findings offer managerial implications for investors seeking trading strategies to maximize the possibility of reaching investment goals and inform policymakers regarding the current state of the Thai stock market.Originality/valueFirst, the study investigates calendar anomalies in the Thai stock market, specifically the DOW effect and the January effect, which have received relatively little attention in the literature. Second, this is the first study to examine calendar anomalies in the Thai stock market across different groups of companies and stock trading characteristics using a range of composite indexes. Furthermore, the study uses data during the period 2014–2019, which should provide up-to-date information on the patterns of stock returns in Thailand.

The Calendar Effects of the Idiosyncratic Volatility Puzzle: A Tale of Two Days?

The idiosyncratic volatility (IVOL) anomaly exhibits strong calendar effects. The negative relation between IVOL and the next-month return obtains mainly in the third week of the month. The IVOL-return relation is generally negative on Mondays and positive on Fridays. However, the positive impact is absent on the third Friday because of selling pressure from stocks delivered at option expiration. This imbalance between the negative and positive returns during the third week of the month has a large impact on the IVOL-return relation. Removing the third Friday and subsequent Monday return reduces the monthly IVOL effect by at least 40%. This paper was accepted by Karl Diether, finance.

THE SEASONAL EFFECT ON THE CHINESE GOLD MARKET USING AN EMPIRICAL ANALYSIS OF THE SHANGHAI GOLD EXCHANGE

Gold is considered as a hedge against inflation, it offers an opportunity for portfolio diversification. This paper examines the recent evolution of seasonal anomalies in the Chinese Gold market. It studies the day of the week effect and the monthly effect through gold prices at the Shanghai Gold Exchange (SGE) over the 2002 to 2016 period. We investigate seasonal patterns in economically favorable times and unfavorable times by using a UCM model and an ARCH model. The reforms in regulations have rendered the Chinese financial market more efficient, in such cases; we expect an alteration in seasonal anomalies in the Chinese Gold market. However, it would seem that seasonality does exist in the Chinese Gold Market. The Monday returns have been positive and the Tuesday returns have been negative for the whole period. We also highlight that January and February generate the best returns. The return in the middle of the year is negative. This paper contributes to the existing finance literature by investigating the anomalies during the recent period. Although in the Chinese stock market, the seasonal anomalies persist, the index may be efficient despite the regularity in price formation, in this case, a study over a more recent period is necessary.

Risky short positions and investor sentiment: Evidence from the weekend effect in futures markets

AbstractThis paper examines the weekend effect in futures markets and presents rational and behavioral reasons for its existence. Specifically, we document a weekend effect (Friday's return minus the following Monday's return) in futures markets. The weekend effect occurs partly because of asymmetric risk between long and short positions around weekends; the weekend effect increases when short positions are relatively more risky. In addition, we find that both lagged and contemporaneous changes in investor sentiment are related to the weekend effect. These results are consistent with the investor sentiment literature that finds that mood improves on Fridays but deteriorates on Mondays.

Seasonality in crude oil returns

This paper explores the efficiency issue of the oil market in order to test the seasonal behavior of oil price returns, specifically day-of-the-week effect and month-of-the-year effect for the period December 1987 to January 2016. We use a dummy variable regression estimation technique to test seasonal anomalies for the Brent and WTI crude oil returns. Our empirical results find support for the negative Monday effect. The evidence of negative Monday returns is consistent with the relevant empirical literature. Moreover, the returns on Thursday are highest in a week followed by returns on Friday for both oil markets. This study also found evidence on month-of-the-year effect as the negative returns in November and December for Brent and WTI oil markets. Finally, this study is important for energy researchers, market participants, and policy-makers because anomalous oil markets’ behavior implies return predictability and the implementation of profitable investment strategies by market players and may also impact the macroeconomic variables and stock market returns.

The day of the week effect and interest rates

The day of the week effect is one of the regularities observed in financial markets which suggests that Friday returns are higher than Monday returns. One of the possible reasons for this regularity is that the date of trade in equity markets is not always the same as the date that payment is made, or the settlement date. The number of days that investors have to wait for payment is higher when that trade is realized on Fridays rather than on Mondays (due to the weekend holidays). Thus, investors have a few more days to use the money in alternative markets when the trade has been realized on Fridays and until the trade is settled on the settlement date. This paper provides empirical evidence that as the return in alternative markets (overnight interest rates) decreases, the day of the week effect decreases. Thus, there should be a positive relationship between the expected relative returns on Friday to Monday and overnight interest rates.

Impact of firm size on the Weekend effect: The Australian Stock Exchange evidence

This paper examines whether the Weekend effect anomaly documented in the extant literature exists in the Australian Financial Exchange (ASX). Daily data from January 1994 to September 2018 documents a strong Weekend effect in equal-weighted index and small firms before the Global Financial Crises (GFC). That is, as the size of the business increases the Weekend effect starts to dissipate due to significantly negative Monday returns for small-capitalized firms and significantly positive Monday returns for large-capitalized firms. On the other hand, during and after the GFC period, from January 2008 to September 2018, this study finds strong Weekend effect in large capitalized stocks and weakly significant effect in small capitalized stocks. Hence, the evidence suggests that Weekend effect still persist for Australian securities, but have shifted from smaller stocks to larger stocks. Moreover, this study finds absence of Weekend effect in equal- and value-weighted indices in the 10-year recent data. Therefore, investing in stock index futures contracts would not yield better returns due to diminishing of Weekend effect anomaly in indices.

ECONOMIC EVENTS AND STOCK RETURNS ON MONDAY

ABSTRACT This paper examines the effect of two economic events on Monday returns. More precisely, the study investigates the effects of the burst of the technology bubble in the year 2000 and the financial meltdown of 2008 on Monday returns. The results of this investigation show that the significantly negative Monday returns of small firms practically disappeared after the technology bubble. On the other hand, Monday stock returns of large firms become significantly positive after the year 2000 and in particular after the credit crash of 2008. Keywords event, Monday, stock

An Investigation into the Role of Short-Selling and Its Impact on the Weekend Effect Evidence from Australian Market

This research paper has two objectives. First, whether the Weekend Effect anomaly documented in the literature exists in the Australian Stock Exchange (ASX). Second, whether the existence of the Weekend Effect can be attributed to the role of short-sellers. Using daily data for the period from January 1994 to December 2007, this study observes a strong Weekend Effect in equal-weighted index and small-cap stocks. As the size of the firm increases the Weekend Effect starts to disappear due to significantly negative Monday returns for smaller firms and significantly positive Monday returns for larger firms. Further, this research does not find evidence that speculative short-sellers add to the Weekend Effect. Rather this study reveals an opposite finding, that when short-sellers are more active the Weekend Effect diminishes and when short-sellers are less active, the study observes strong Weekend Effect. However, this result is not robust with regard to the assumed relationship between the Weekend Effect and stocks with tradable options.

Daily short covering activity and the weekend effect: Evidence from Taiwan

By using a unique dataset of daily short covering volumes obtained from the Taiwan Stock Exchange, we first examine, in general, what drives daily short covering activity in the cross-section and its return predictability; we then investigate, in specific, the relation between short covering and the weekend effect. In general, we find that short covering activity is positively related to short selling activity; and short sellers on average are contemporaneous contrarians. Large-cap stocks, growth stocks, high-price stocks and stocks with high institutional ownership generally have greater short-selling and short-covering activities. We present evidence that regardless of firm characteristics, short-sellers are capable of identifying stocks whose prices tend to decline when they initiate short positions. However, the ability of short sellers to successfully cover their positions is less clear. In specific tests of the weekend effect, we find that when short covering activity is relatively high, Friday returns are more negative. Furthermore, firms with high short selling activity have a larger Monday return compared to firms with low short selling activity. Our findings are contrary to the hypothesis proposed by Chen and Singal (2003), but consistent with the notion that short sellers are contrarian in contemporaneous stock returns.

Calendar effects of the Colombo stock market

This study examines the calendar effects specially day of the week effects and month of the year effects in the Colombo stock market. The study on the day of the week effect was done based on daily all share price index (ASPI) for the period January 2004 to June 2015 and the study on the month of the year effect employs based on monthly ASPI for the period January 1998 to June 2015. The calendar effects are examined by applying multiple regression (OLS and GARCH models) using dummy variables. Regression results show that presence of the day of the week effect and month of the year effect in the Colombo stock market during the study period. Findings indicate significantly positive high returns on Friday while Monday returns are significantly negative in consistent with previous studies. In addition, the results shows a significantly positive returns on Wednesday and Thursday. In the case of monthly effect, there is a significantly positive high returns in September in the Colombo stock market in contradict to previous findings. There is no evidence for January or April effects during the study period instead there is September effect in the Colombo stock market. The findings of the calendar effects are important to the financial managers, financial analysts and investors to take a fruitful investment decisions.

Reversal of Monday returns

This paper elaborates an interesting aspect of the Monday anomaly: Monday returns are relatively more likely to reverse over the subsequent days. We document that, although the Monday low-return anomaly disappeared, the subsequent reversal of Monday returns remains robust to date. The reversals, measured over a five-day horizon, are pervasive across international stock markets, reasonably stable over time, significant following both positive and negative Monday returns, and not confined to extreme Monday returns. Trading strategies designed to exploit these reversals earn economic profits. We examine potential explanations for the reversal of Monday returns using trading flows data of investor types from Korea. All predictions of the Foster and Viswanathan [J. Finance, 1993, 48, 187–211] model are confirmed: volatility is higher, trading volume is lower, market depth is lower and price impact costs are higher on Mondays. The model implies lower price quality on Mondays, but does not specifically predict reversal of Monday returns. We show that the trading intensity of international/institutional investors is lower on Mondays. This appears to make the market relatively more susceptible to individual investors’ trading, which is negatively correlated with international/institutional investors. Thus, Monday returns are relatively more likely to reverse during the subsequent days of the week when institutional investors trade more aggressively.

The evolution of the weekend effect in US markets

Abstract This paper applies cointegration and breakpoint analysis to test for the disappearance of the weekend effect in US stock markets. After its formal discovery in 1973, the weekend effect immediately declined, but subsequently went through periods of reappearance and even reversal. Unit root tests suggest stationarity in the Monday return differential from 1975 to the present. Our results support mean reversion toward the same return as for the other days of the week, rather than a wandering weekend effect. Breakpoint tests indicate a major change in return regimes within about two years of the discovery of the weekend effect, subsequent periods of adjustment that vary by index, and the long-run disappearance of the weekend effect.

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.

Using Annual Panel Data To Examine The Monday Effect

<span style="font-family: Times New Roman; font-size: small;"> </span><p style="margin: 0in 0.5in 0pt; text-align: justify;" class="MsoNormal"><span style="font-family: Times New Roman;"><span style="font-size: 10pt; mso-bidi-font-size: 12.0pt; mso-fareast-language: ZH-CN;">The Monday effect is a well-known anomaly in which Monday stocks returns are significantly different from other days. Recent research suggests that small-cap stocks exhibit negative and significant Monday returns, mid-cap stocks show no Monday effect and large-cap stocks have positive and significant Monday returns. In this short paper we re-examine the Monday effect using a somewhat different approach that the rest of the literature. Specifically, we examine the U.S. mean Monday returns for each market capitalization decile and for each year over the period 1966-2007.<span style="mso-spacerun: yes;"> </span>We then examine the patterns of these annual Monday returns.<span style="mso-spacerun: yes;"> </span>Using this method, we find that the Monday effect has dissipated for all sizes of stocks so much that, by the middle 1990s, the Monday returns are generally not significant from zero. </span><span style="font-size: 10pt; mso-bidi-font-size: 12.0pt;"></span></span></p><span style="font-family: Times New Roman; font-size: small;"> </span>