Another New Look at the Monday Effect
Qian Sun and
Wilson H.S. Tong
Additional contact information
Qian Sun: Nanyang Technological University,
Journal of Business Finance & Accounting, 2002, vol. 29, issue 7&8, 1123-1147
We link up the findings of Abraham and Ikenberry (1994) and Wang, Li and Erickson (1997) by showing that negative Monday returns concentrate on days 18 to 26 of a month and they can be completely explained in the statistical sense by the negative returns on the previous Friday. More importantly, we observe a 'week-four effect'. Not only the returns on Mondays but also returns on other days are lower during the fourth week of a month. We suggest that liquidity selling by individual investors may be the reason. Copyright Blackwell Publishers Ltd 2002.
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/1468-5957.00464 link to full text (text/html)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:jbfnac:v:29:y:2002:i:7&8:p:1123-1147
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0306-686X
Access Statistics for this article
Journal of Business Finance & Accounting is currently edited by P. F. Pope, A. W. Stark and M. Walker
More articles in Journal of Business Finance & Accounting from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().