The impact of firm size differences on the day-of-the-week effect: a comparison of major stock exchanges

International Journal of Business and Management, Vol. 4, No. 5, May 2009

“…He also concluded that on Monday morning, prices drop, while on the other weekday mornings, they rise. In some related studies Thoebald and Price (1984), Simrlock and Starts (1986), Board and Sutcliffe (1988), Cohers and Cohers (1995) and Tang and Kwok (1997) and many others support the previous studies and concluded that Mondays average return are negative and Fridays average return are positive. That means, share prices tend to decline on opening day (Monday) of the week and tend to increase on the closing day (Thursday) of the week.…”

“…Researchers have found day of the week effect in a variety of forms in different markets. In most of the developed markets, empirical studies found negative Monday returns and positive Friday returns such as Cross (1973), French (1980, Gibbons & Hess (1981), Lakonishok and Levi (1982), Rogalski (1984), Keim & Stambaugh (1984), Theobald and Price (1984), Jaffe & Westerfield (1985), Harris (1986), Simrlock & Starts (1986), Board and Sutcliffe (1988), Lakonishok and Smidt (1988), Kim (1988), Jaff, Westerfield andMa (1989), Cohers and Cohers (1995), Tang and Kwok (1997), Mehdian and Perry (2001) and so on. One possible explanation for such day of the week effect anomaly may be that most of the positive economic news comes at the week end and investors show affirmative and hopeful investment behavior which result in a positive return on Fridays.…”

Day-of-the-week effects in emerging stock markets

“…Investors could buy stocks on days with abnormally low returns and sell stocks on days with abnormally high returns. Published research for the United States and Canada finds that daily stock market returns tend to be lower on Mondays and higher on Fridays (French, 1980;Gibbons and Hess, 1981;Rogalski, 1984;Smirlock and Starks, 1986;Flannery and Protopapadakis, 1988;Kohers and Kohers, 1995). In contrast, daily returns in Pacific Rim countries tend to be lowest on Tuesdays (Jaffe and Westerfield, 1985;Dubois and Louvet, 1996;Brooks and Persand, 2001).…”

The dynamics of the Monday effect in international stock indices

“…There are sixteen studies which investigate the international evidence relating to stock indices. These are coded with an asterisk in the references section (e.g., Aggarwal & Rivoli, 1989;Brooks & Persand, 2001;Condoyanni et al, 1987;Dubois and Louvet, 1996;Hui, 2005;Jaffe and Westerfield, 1985;Jaffe et al, 1989;Kassimatis et al, 2008;Kohers and Kohers, 1995;and Mazumder et al, 2008).…”