A Survey of the Monday Effect Literature
Опубликовано на портале: 22-10-2007
Quarterly Journal of Business & Economics. 2003. Vol. 42. No. 3/4. P. 3-28.
Academic researchers have spent considerable effort attempting to document and, with limited success, to explain the tendency for asset returns to be negative on Monday. In recent years a new dimension has arisen that presents both obstacles and opportunities for explaining the Monday effect. Monday returns for large-firm equities have become positive, and in some years these returns are significantly higher than returns for other weekdays.
This survey serves as an introduction to a series of papers that examine the Monday effect including the shift from negative Monday returns to positive Monday returns.
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Day of the Week Effect and Market Efficiency - Evidence from Indian Equity Market Using High Frequency Data of National Stock Exchange
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