Another New Look at the Monday Effect | Zendy

Sun Qian | Zendy; Tong Wilson H.S. | Zendy

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Another New Look at the Monday Effect

Author(s) -

Sun Qian,

Tong Wilson H.S.

Publication year - 2002

Publication title -

journal of business finance and accounting

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.282

H-Index - 77

eISSN - 1468-5957

pISSN - 0306-686X

DOI - 10.1111/1468-5957.00464

Subject(s) - names of the days of the week , market liquidity , economics , monetary economics , econometrics , financial economics , philosophy , linguistics

We link up the findings of Abraham and Ikenberry (1994) and Wang, Li and Erickson (1997) by showing that negative Monday returns concentrate on days 18 to 26 of a month and they can be completely explained in the statistical sense by the negative returns on the previous Friday. More importantly, we observe a ‘week–four effect’. Not only the returns on Mondays but also returns on other days are lower during the fourth week of a month. We suggest that liquidity selling by individual investors may be the reason.

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