Who drives the Monday effect?
Numan Ülkü and
Journal of Economic Behavior & Organization, 2018, vol. 148, issue C, 46-65
This study sheds light on the still-unknown cause of the Monday effect, by providing explicit evidence on the trading behavior of different types of investors, using complete trading data with investor type identification from three Asian stock markets. Results, consistently reinforced under different approaches, indicate that, against the prevailing view that holds individual investors’ trading responsible, institutional investors’ trading is associated with the Monday effect. Individuals trade against it, albeit due to their overall contrarian tendencies. Institutions’ refraining from trading, particularly from buying, on Mondays emerges as a new partial explanation of the Monday effect.
Keywords: Monday effect; Individual and institutional investors; Trading data (search for similar items in EconPapers)
JEL-codes: G14 G40 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
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:eee:jeborg:v:148:y:2018:i:c:p:46-65
Access Statistics for this article
Journal of Economic Behavior & Organization is currently edited by Neilson, William Stuart
More articles in Journal of Economic Behavior & Organization from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().