Japanese day-of-the-week return patterns: New results

Wentworth Boynton, Henry R. Oppenheimer and Sean F. Reid

Global Finance Journal, 2009, vol. 20, issue 1, 1-12

Abstract: We make tests on day-of-the-week stock market return patterns for Japan. We find that until the 1990s, Tuesdays have abnormal losses; in the 1990s, Tuesday losses disappear and Mondays have abnormal losses. Tests find that volume changes drive out the Monday loss.

Keywords: Day-of-the-week; return; patterns (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:20:y:2009:i:1:p:1-12

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