Monday mornings: Individual investor trading on days of the week and times within a day

Richards, Daniel W.; Willows, Gizelle D.

doi:10.1016/j.jbef.2019.02.009

Cited by 9 publications

(7 citation statements)

References 53 publications

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“…Research related to the anomaly of the day-ofthe-week effect, which began in 1930 with a study by Kelly and is still ongoing, as shown by the recent studies from Richards and Willows (2019), found that the returns on Mondays are always negative compared to other days, so this phenomenon is called the Monday effect anomaly. This anomaly can generally only be explained by the existence of persistent seasonal ties in the capital market.…”

Section: Resultsmentioning

confidence: 99%

Day-of-the-Week Effect and Investors’ Psychological Mood Testing in a Highly Mispriced Capital Market

Luxianto

Arief

Prasetyo

2020

J. Indones.Econ.Bus.

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Research Aims: This research examines investors’ psychological moods which cause day-of-the-week anomalies in highly mispriced stock markets. Design/methodology/approach: We use a sample from the Indonesian capital market as, in the Asian region, this country is considered to have a highly mispriced capital market. We decompose the stock price index in Indonesia into speculative, less speculative, and non-speculative indexes. We employ the mean and variance regressions to control the heteroscedasticity and serial correlation. Novelties: Our novelties are two fold. We postulate a method to decompose stock price indexes in Indonesia (the JKSE, LQ 45, and Kompas 100) into speculative, less speculative, and non-speculative indexes. Secondly, we estimate the mean and variance levels simultaneously to get a robust estimation result of the anomaly. Research Findings: We empirically find that the behavior mood hypothesis is supported only during normal periods, when investors tend to be irrational and use their good mood to trade on speculative stocks on a Wednesday and sell them on Monday. In other periods, rationality and psychological effects play a role with Indonesian investors, when their mood is good they are more active in trading less speculative stocks, to avoid higher risks and earn higher returns from those less speculative and non-speculative stocks.

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Section: Resultsmentioning

confidence: 99%

Day-of-the-Week Effect and Investors’ Psychological Mood Testing in a Highly Mispriced Capital Market

Luxianto

Arief

Prasetyo

2020

J. Indones.Econ.Bus.

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“…The significant differences in traded volume across days are also observed in China, India, South Korea, Taiwan, Thailand, Indonesia, Philippines and Pakistan where Monday is the least traded day in each market—except for China and NSE Nifty (India). In a recent enquiry, Richards and Willows (2019) present that Mondays in China are the least traded day in the week. Moreover, the day‐of‐the‐week effect in volume is not discovered only in Malaysia.…”

Section: Conclusion and Discussionmentioning

confidence: 99%

“…Similarly, Berument and Kiymaz (2001) claim that the time series data are subject to variation across time that makes simple OLS inefficient to predict results. Recently, Richards and Willows (2019), Miss, Charifzadeh, and Herberger (2020), Anjum, 2020, and Ali and Ülkü (2020) incorporated GARCH and variants of GARCH to test day‐of‐the‐week effect in time series data. Thus, to account for heteroscedasticity generalized autoregressive conditional heteroscedasticity (GARCH) is employed.…”

Section: Methodology and Datamentioning

confidence: 99%

“…However, the traded volume has been the most common factor used as proxy for market liquidity and in each cases, when it is tested for day‐of‐the‐week effect (Abbas & Javid, 2015; Huang, Hu, & Liao, 2010). To assess the day‐of‐the‐week effect, variant techniques of autoregressive conditional heteroscedasticity (ARCH) and GARCH e.g., ARCH, GARCH (1, 1), E‐GARCH, TGARCH (Gbeda & Peprah, 2018; Richards & Willows, 2019; Trick, 2018) OLS (Birru, 2018; Zhang, Gu, & Zhou, 2019), Analysis of variance (ANOVA) Hussain, Hamid, Akash, Shahid, and Imdad Khan (2011) and some nonparametric tests were employed. Whereas most common techniques were different types of GARCH from family of GARCH, OLS and Kruskal‐Wallis rank test.…”

Section: Literature Reviewmentioning

confidence: 99%

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Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†

et al. 2021

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In the second half of the 20th century, it was observed that weekday‐of‐Monday generate significantly lower returns than other days of the week. Literature has shown that the day effect exists on weekdays of the week, which is different from this day Monday. This study investigates day‐of‐the‐week effect in returns and volume of stock in emerging Asian markets by using ordinary least square regression (OLS), generalized autoregressive conditional heteroscedasticity (GARCH) (1, 1) and Kruskal‐Wallis test. The data are obtained from Thomson Reuters from July 2013 to March 2019 for the market indices and volume. The OLS and GARCH (1, 1) are employed through Eviews, while Kruskal‐Wallis test is used through SPSS. The results show a significant day‐of‐the‐week effect in returns in China, South Korea, Taiwan, Thailand, Indonesia and Pakistan. On the other hand, no significant day‐of‐the‐week effect in returns is revealed in India and Malaysia. Furthermore, significant differences in traded volume on different days are also observed in all markets except for Malaysia, where Monday is the least traded day in most markets. No evidence for co‐occurrence of day‐of‐the‐week effect in returns and volume is observed. The findings affirm inconsistency in the day‐of‐the‐week effect.

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“…This prompts towards the magnitude of transaction costs and the trading volume. Richards and Willows (2019) investigated the trading behavior of 7200 UK investors and found that they prefer to selling their losses on Mondays. According to them, mornings and Mondays induce a bad mood compared with other days of the week, so investors may integrate the selling of losses with Monday mornings to create congruence between their emotions and their behavior.…”

Section: Introductionmentioning

confidence: 99%

Weekend effect and financial characteristics: is there any relation in Latin America?

Mongrut

Delfino

2019

REMEF

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This study seeks to investigate the presence of the weekend effect in six Latin American markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) and to show the relationship between the weekend effect and investment portfolios sorted by four financial characteristics: stock market liquidity, current liquidity ratio, market capitalization (size) and price-to-book ratio. Using an extension of the French (1980) Model and a portfolio study we identify a significant weekend effect in all countries and found a negative relation between the weekend effect and four financial characteristics: the weekend effect is stronger in portfolios that contain stocks with low market liquidity, securities with low current liquidity ratios, small cap stocks (size) and stocks with low price-to-book ratios. As opposed to previous studies, we suggest that the weekend effect may be influenced by the investment of institutional investors in securitized loans issued by companies with value stocks and tight current liquidity ratios, and by the investment of individual investors in small-cap and illiquid stocks.

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Monday mornings: Individual investor trading on days of the week and times within a day

Cited by 9 publications

References 53 publications

Day-of-the-Week Effect and Investors’ Psychological Mood Testing in a Highly Mispriced Capital Market

Day-of-the-Week Effect and Investors’ Psychological Mood Testing in a Highly Mispriced Capital Market

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†

Weekend effect and financial characteristics: is there any relation in Latin America?

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Monday mornings: Individual investor trading on days of the week and times within a day

Cited by 9 publications

References 53 publications

Day-of-the-Week Effect and Investors’ Psychological Mood Testing in a Highly Mispriced Capital Market

Day-of-the-Week Effect and Investors’ Psychological Mood Testing in a Highly Mispriced Capital Market

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia†

Weekend effect and financial characteristics: is there any relation in Latin America?

Contact Info

Product

Resources

About

Day‐of‐the‐week effect and market liquidity: A comparative study from emerging stock markets of Asia^†