Another New Look at the Monday Effect

25 Pages Posted: 26 Jan 2003

See all articles by Qian Sun

Qian Sun

Fudan University

Wilson H.S. Tong

Hong Kong Polytechnic University - School of Accounting and Finance; Hong Kong University of Science & Technology (HKUST) - Department of Finance

Abstract

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.

JEL Classification: G12

Suggested Citation

Sun, Qian and Tong, Wilson H.S., Another New Look at the Monday Effect. Available at SSRN: https://ssrn.com/abstract=333923

Qian Sun

Fudan University ( email )

No. 670, Guoshun Road
No.670 Guoshun Road
Shanghai, 200433
China
86 21 25011094 (Phone)

Wilson H.S. Tong (Contact Author)

Hong Kong Polytechnic University - School of Accounting and Finance ( email )

M715, Li Ka Shing Tower
Hung Hom, Kowloon, Kowloon
Hong Kong

Hong Kong University of Science & Technology (HKUST) - Department of Finance ( email )

Clear Water Bay, Kowloon
Hong Kong
852-2358-7679 (Phone)
852-2358-1749 (Fax)

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