The reversal of the monday effect: New evidence from US equity markets

Journal of Business Finance and Accounting

Volumn 28, Issue 7-8, 2001, Pages 1043-1065

  Mehdian, Seyed ^a   Perry, Mark J ^b  

^a Department of Finance   (United States)

^b UNIVERSITY OF MICHIGAN FLINT   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 4043066128     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/1468-5957.00404     Document Type: Article

References (17)

1. Aggarwal, R. and P. Rivoli (1989), 'Seasonal and Day-of-the-week Effects in Four Emerging Markets', Financial Review, Vol. 24, pp. 541-50.
2. Dubois, M. and P. Louvet (1996), 'The Day-of-the-week Effect: The International Evidence', Journal of Banking and Finance, Vol. 20, pp. 1463-84.
3. Fields, M.J. (1931), 'Stock Prices: A Problem in Verification', Journal of Business.
4. French, K.R. (1980), 'Stock Returns and the Weekend Effect', Journal of Financial Economics, Vol. 13, pp. 55-70.
5. Gibbons, R.S., and P. Hess (1981), 'Day of the Week Effects and Asset Returns', Journal of Business, Vol. 54, pp. 579-96.
6. Grier, K. and M.J. Perry (1993), 'The Effect of Money Shocks on Interest Rates in the Presence of Conditional Heteroskedasticity', Journal of Finance, Vol. 48, pp. 1445-55.
7. Gultekin, M. and N.B. Gultekin (1983), 'Stock Market Seasonality: International Evidence', Journal of Financial Economics, Vol. 12, pp. 469-81.
8. Jaffe, J. and R. Westerfield (1985), 'The Weekend Effect in Common Stock Returns: The International Evidence', Journal of Finance, Vol. 40, pp. 433-54.
9. - and C. Ma (1989), 'A Twist on the Monday Effect in Stock Prices: Evidence from the U.S. and Foreign Stock Markets', Journal of Banking and Finance, Vol. 13, pp. 641-50.
10. Kamara, A. (1997), 'New Evidence on the Monday Seasonal in Stock Returns', Journal of Business, Vol. 70, pp. 63-84.
11. Lakonishok, J. and M. Levi (1982), 'Weekend Effects on Stock Returns: A Note', Journal of Finance, Vol. 37, pp. 883-89.
12. - and S. Smidt (1988), 'Are Seasonal Anomalies Real? A Ninety-Year Perspective', Review of Financial Studies, Vol. 1, pp. 403-25.
13. Niederhoffer, V. (1997), The Education of a Speculator (New York: John Wiley and Sons).
14. Rogalski, R. (1984), 'New Findings Regarding Day of the Week Returns Over Trading and Non-Trading Period', Journal of Finance, Vol. 39, pp. 1603-14.
15. Smirlock, M. and L. Starks (1986), 'Day of the Week and Intraday Effects in Stock Returns', Journal of Financial Economics, Vol. 17, pp. 197-210.
16. Solnik, B. and L. Bounsquet (1990), 'Day-of-the-week Effect on the Paris Bourse', Journal of Banking and Finance, Vol. 14, pp. 461-68.
17. Wang, K., Y. Li and J. Erickson (1997), 'A New Look at the Monday Effect', Journal of Finance, Vol. 52, pp. 2171-86.