The Reversal of the Monday Effect: New Evidence from US Equity Markets

Mehdian, Seyed; Perry, Mark

doi:10.1111/1468-5957.00404

Cited by 90 publications

(63 citation statements)

References 8 publications

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“…In order to determine whether there were any significant differences between the means of stock returns, the one-way analysis of variance (ANOVA) was used. This method was used for re-examines the Monday effect in the U.S. stock market, using daily returns (Mehdian & Perry, 2001) Daily returns of BIST were calculated from the Eq. 1.…”

Section: Methodsmentioning

confidence: 99%

Stock market anomalies: the day of the week effects, evidence from Borsa Istanbul

et al. 2017

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This study was conducted to investigate the market anomalies in the Borsa Istanbul Index (BIST). The scope of this study is to examine the Monday effects in BIST that are stock index of Turkey with an data set that contains daily stock prices between 02.01.2010 and 22.10.2014. The stock returns of the 289 companies were calculated according to the daily historical stock prices of companies. These returns were classified based on the sectors, and statistically analysed if the days of the week had any effects on Monday when the daily stock returns of Monday were fixed constant. The findings showed that the stock returns on Monday were affected by the other days. These effects were mostly negative, and varied according to the stocks and sectors. Thursday and Friday had the highest effect, whereas Tuesday had the least effect on the stocks. The results show that the stock market in Turkey has market anomaly, and BIST is not an efficient market.

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Section: Methodsmentioning

confidence: 99%

Stock market anomalies: the day of the week effects, evidence from Borsa Istanbul

et al. 2017

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“…There are number of studies which have supported the Monday effect in the stock markets (Alt et al, 2011;Cho et al, 2007;Jaffe et al, 1989). However, other studies support the ef icient market hypothesis and are not in line with the Monday effect (Bhana, 1985;Diaconasu et al, 2012;Mehdian and Perry, 2001;Wang et al, 1997). Also, Ajayi et al (2004) Seyyed et al (2005) found the existence of Ramadan effect in Saudi Arabia.…”

Section: Monday Effectmentioning

confidence: 86%

Calendar anomalies: Review of literature

2017

J. adv. humanit. soc. sci.

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KeywordsEf icient market hypothesis January anomaly Monday anomaly Islamic calendar months effect Abstract. A wide range of studies in economics and inance literature have addressed the issue of abnormal behaviour in equity returns during certain calendar dates. These abnormal equity returns behaviours are known as calendar anomalies which are in direct opposition to the ef icient market hypothesis. The existence of calendar anomalies does not conform to the assumptions of market ef iciency, therefore, implying that equity returns can be predicted relying on the calendar dates. The objective of current study is to review the prior studies regarding the calendar anomalies. For this purpose, the current study has adopted the review methodology and identi ied the most important studies in this area. Furthermore, the indings of these studies have been reviewed and summarized. By reviewing the previous studies, the current study has noted the growing inclination of recent studies towards the examination of these anomalies. Also, prevalence of these anomalies is documented in recent studies. The current study is the among irst of those studies which have provided a comprehensive review of the previous studies conducted on the calendar anomalies. These summarized reviews of indings of previous research may help future research studies to hold a basic understanding regarding the existence of calendar anomalies in the world equity markets.

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“…This weekend effect is tested all over the world and reported for policy implication and restoring investors' confidence. Monday have significant effect in stock exchange and day of week effect exists in major stock exchange of world as reported [8][9][10][11]. Theories of finance give possible explanation of this weekend anomaly, but researchers thrust is still unfulfilled about it.…”

Section: Literature On Monday Effectmentioning

confidence: 99%