Are there Monday effects in Stock Returns: A Stochastic Dominance Approach
Yoon-Jae Whang,
Young-Hyun Cho and
Oliver Linton
FMG Discussion Papers from Financial Markets Group
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; subsamplingJEL Classification: C12, C14, C15, G13, G14
Date: 2006-09
New Economics Papers: this item is included in nep-sea
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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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