19 Pages Posted: 27 Jul 2009
Date Written: January 2009
This paper extends research on the Monday effect across specific asset classes. We examine this anomaly using the CRB Index, the US Treasury Bond Rates and the US Dollar Index. The study tests have shown that the Monday effect holds true for the CRB Index and Treasury Bonds. However, there is no statistically significant Monday effect on the US dollar. This would suggest that the explanation of the Monday effect on equities lies not with equities themselves, as this phenomenon is common to other asset classes. Investors seem to decrease their exposure to all asset classes on average on Monday, and increase their cash holdings, maybe awaiting economic and financial reports released later in the week.
Keywords: monday effect
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