Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

The Reversal of the Monday Effect: New Evidence from US Equity Markets

The Reversal of the Monday Effect: New Evidence from US Equity Markets This article re‐examines the Monday effect in the US stock market from 1964–1999 using daily returns from three large‐cap indexes and two small‐cap indexes. In the period before 1987, Monday returns are significantly negative in all five US stock indexes, confirming previous empirical findings. In the post‐1987 period, we uncover a significant reversal of the Monday effect in the large‐cap indexes (NYSE, S&38;P500 and DJCOMP), since Monday returns are significantly positive. Furthermore, significant differences in the persistence and reversal of the Monday effect are found between large‐cap and small‐cap stock indexes. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Business Finance & Accounting Wiley

The Reversal of the Monday Effect: New Evidence from US Equity Markets

Loading next page...
 
/lp/wiley/the-reversal-of-the-monday-effect-new-evidence-from-us-equity-markets-OFTcIxT2uQ

References (0)

References for this paper are not available at this time. We will be adding them shortly, thank you for your patience.

Publisher
Wiley
Copyright
Copyright © 2001 Wiley Subscription Services, Inc., A Wiley Company
ISSN
0306-686X
eISSN
1468-5957
DOI
10.1111/1468-5957.00404
Publisher site
See Article on Publisher Site

Abstract

This article re‐examines the Monday effect in the US stock market from 1964–1999 using daily returns from three large‐cap indexes and two small‐cap indexes. In the period before 1987, Monday returns are significantly negative in all five US stock indexes, confirming previous empirical findings. In the post‐1987 period, we uncover a significant reversal of the Monday effect in the large‐cap indexes (NYSE, S&38;P500 and DJCOMP), since Monday returns are significantly positive. Furthermore, significant differences in the persistence and reversal of the Monday effect are found between large‐cap and small‐cap stock indexes.

Journal

Journal of Business Finance & AccountingWiley

Published: Sep 1, 2001

There are no references for this article.