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Who drives the Monday effect?

Numan Ülkü and Madeline Rogers

Journal of Economic Behavior & Organization, 2018, vol. 148, issue C, 46-65

Abstract: 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)
Date: 2018
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