Testing the Monday Effect using High-frequency Intraday Returns: A Spatial Dominance Approach

Sungro Lee, Chang Sik Kim, In-Moo Kim, Chang Sik Kim and In-Moo Kim
Additional contact information
Sungro Lee, Chang Sik Kim, In-Moo Kim: Sungkyunkwan University, Sungkyunkwan University, Sungkyunkwan University
Chang Sik Kim: Sungkyunkwan University
In-Moo Kim: Sungkyunkwan University
Authors registered in the RePEc Author Service: Chang Sik Kim

Korean Economic Review, 2012, vol. 28, 69-90

Abstract: This paper employs a new testing procedure for detecting the presence of Monday effects using high-frequency intraday data. Our approach to test the Monday effect is based on spatial dominance, which enables us to analyze the expected sum of instantaneous utilities during trading hours by considering the intraday patterns of returns. The testing of the methods used in previous studies compares the expected utilities only at a specific time, usually market closing time. Empirical results from our tests provide strong evidence of the Monday effect for the 1983 to 1987 period. We also find that the Monday effect is driven by large negative returns accrued during early Monday mornings, The conventional analyses for the Monday effect, such as regression analysis and stochastic dominance, cannot provide strong evidence of the Monday effect for the same period because these testing methods do not consider the return behavior during Monday mornings.

Keywords: efficient markets; high-frequency intraday returns; spatial dominance; subsampling; the Monday effect (search for similar items in EconPapers)
JEL-codes: C14 C15 G14 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://keapaper.kea.ne.kr/RePEc/kea/keappr/KER-20120630-28-1-04.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kea:keappr:ker-20120630-28-1-04

Access Statistics for this article

Korean Economic Review is currently edited by Kyung Hwan Baik

More articles in Korean Economic Review from Korean Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by KEA ().