The dynamics of the Monday effect in international stock indices

Are investors moonstruck? Further international evidence on lunar phases and stock returns

“…Alternatively put, the good calendar control day return less the bad calendar control day return, called the 'prior day' effect, is larger for less developed economies. Essentially similar results are reported by Keef et al (2009) -they attribute them to market efficiency considerations.…”

“…A market inefficiency explanation is offered for the prior day effect and the market development effect together with their influence on the Monday effect (Keef et al, 2009) and the turn-of-the-month effect. In our opinion, it would be a difficult task to advance a convincing mood-based explanation for these results.…”

“…Based on Yuan et al (2006), the conjecture is the depressed full moon effect will be of greater magnitude for less developed countries compared to developed countries. In a between-country examination of the international Monday effect, Keef et al (2009) use a factor derived from four measures of a country's economic development. These are GDP together with indices for economic freedom, corruption and networked readiness.…”

“…For this reason, the focus is on three anomalies which are, arguably, the most important anomalies in the financial economics literature. These are the prior day effect (e.g., Tong, 2000;Brusa et al, 2003), the Monday effect (e.g., Cross, 1973;Keef et al, 2009) and the turn-of-the-month effect (e.g., Ariel, 1987;McConnell and Xu, 2008). The implied question relates to the degree the lunar effects are influenced by these anomalies.…”

Is there a Friday the 13th effect in emerging Asian stock markets?

“…Probably the most prominent of these effects are the Monday effect (see French, 1980;Pettengill, 2003;Keef et al, 2009), where Mondays' returns are much lower than other days of the week, the January effect (see Gultekin and Gultekin, 1983;Keim, 1983;Yao, 2012), where returns are much higher during the month of January than any in other month, and the turn-of-the-month effect (see Ariel, 1987;Kunkel et al, 2003), where returns at the end and at the beginning of a month tend to be higher than on other days. Recent research also considers Halloween effects (see Bouman and Jacobsen, 2002;Haggard and Witte, 2010) and even calendar phases exhibiting certain climate patterns (see Lucey, 2005, 2008).…”