Are there Monday effects in stock returns: a stochastic dominance approach

Young-Hyun Cho, Oliver Linton and Yoon-Jae Whang

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We provide a test of the Monday effect in daily stock index returns. Unlike previous studies we define the Monday effect based on the stochastic dominance criterion. This is a stronger criterion than those based on comparing means used in previous work and has a well defined economic meaning. We apply our test to a number of stock indexes including large caps and small caps as well as UK and Japanese indexes. We find strong evidence of a Monday effect in many cases under this stronger criterion. The effect has reversed or weakened in the Dow Jones and S&P 500 indexes post 1987, but is still strong in more broadly based indexes like the NASDAQ, the Russell 2000 and the CRSP.

Keywords: efficient markets; stock market anomalies; subsampling (search for similar items in EconPapers)
JEL-codes: C12 C14 C15 G13 G14 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2006-09-29
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://eprints.lse.ac.uk/24520/ Open access version. (application/pdf)

Related works:
Journal Article: Are there Monday effects in stock returns: A stochastic dominance approach (2007)
Working Paper: Are there Monday effects in Stock Returns: A Stochastic Dominance Approach (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:24520

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