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Please use this identifier to cite or link to this item:
http://hdl.handle.net/1842/1819
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| Title: | Explaining Monday Returns |
| Authors: | Draper, Paul
Paudyal, Krishna |
| Issue Date: | 2001 |
| Publisher: | Management School and Economics. The University of Edinburgh |
| Series/Report no.: | CFMR
01.02 |
| Abstract: | The Monday effect is re-examined using two stock indices and a sample of 452
individual stocks that trade on the London Stock Exchange. The results based on
conventional test methods reveal a low average return on Monday. Extending the
analysis to examine the effects of various possible influences simultaneously, the
average Monday return becomes positive and does not differ significantly from the
average returns of most other days of the week. Fortnight, ex-dividend day, account
period, (bad) news flow, trading activity and bid-ask spread effects are all controlled
for. The results broadly support the trading time hypothesis. |
| Keywords: | econonics |
| URI: | http://hdl.handle.net/1842/1819 |
| Appears in Collections: | Business and Management Research Publications
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