Are there Monday effects in stock returns: A stochastic dominance approach

We provide a test of the Monday effect in daily stock index returns. Unlike previous studies we define the Monday effect based on the stochastic dominance criterion. This is a stronger criterion than those based on comparing means used in previous work and has a well defined economic meaning. We app...

Full description

Saved in:
Bibliographic Details
Published in:Journal of empirical finance 2007-12, Vol.14 (5), p.736-755
Main Authors: Cho, Young-Hyun, Linton, Oliver, Whang, Yoon-Jae
Format: Article
Language:English
Subjects:
Economic fluctuations
Efficient markets
Empirical research
Financial research
Seasonal fluctuations
Stock exchange
Stock market anomalies
Stock prices
Subsampling
Trade volume
Weekdays
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:We provide a test of the Monday effect in daily stock index returns. Unlike previous studies we define the Monday effect based on the stochastic dominance criterion. This is a stronger criterion than those based on comparing means used in previous work and has a well defined economic meaning. We apply our test to a number of stock indexes including US large caps and small caps as well as UK and Japanese indexes. We find strong evidence of a Monday effect in many cases under this stronger criterion. The effect has reversed or weakened in the Dow Jones and S&P 500 indexes post 1987, but is still strong in more broadly based indexes like the NASDAQ, the Russell 2000 and the CRSP.
ISSN:0927-5398
1879-1727
DOI:10.1016/j.jempfin.2007.02.001