Explaining Monday returns

Paul Draper, Krishna Paudyal

Research output: Contribution to journalArticle

11 Citations (Scopus)

Abstract

The Monday effect is reexamined using two stock indexes and a sample of 452 individual stocks that trade on the London Stock Exchange. The results based on conventional test methods reveal a negative 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.

LanguageEnglish
Pages507-520
Number of pages14
JournalJournal of Financial Research
Volume25
Issue number4
DOIs
Publication statusPublished - 31 Dec 2002

Fingerprint

Test methods
Ex-dividend day
Bid/ask spread
Trading activity
News
Monday effect
London Stock Exchange
Stock index

Keywords

  • Monday effect
  • stock indexes
  • London Stock Exchange

Cite this

Draper, Paul ; Paudyal, Krishna. / Explaining Monday returns. In: Journal of Financial Research. 2002 ; Vol. 25, No. 4. pp. 507-520.
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Explaining Monday returns. / Draper, Paul; Paudyal, Krishna.

In: Journal of Financial Research, Vol. 25, No. 4, 31.12.2002, p. 507-520.

Research output: Contribution to journalArticle

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