English, Article, Journal or magazine article edition: Are there Monday effects in Stock Returns: A Stochastic Dominance Approach Yoon-Jae Whang; Young-Hyun Cho; Oliver Linton

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Bookmark: http://trove.nla.gov.au/version/45086
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Are there Monday effects in Stock Returns: A Stochastic Dominance Approach
Author
  • Yoon-Jae Whang
  • Young-Hyun Cho
  • Oliver Linton
Physical Description
  • preprint
Notes
  • 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 
  • RePEc:fmg:fmgdps:dp568
Language
  • English
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