A twist on the Monday effect in stock prices: Evidence from the U.S. and foreign stock markets

One of the most unusual empirical results in finance is the significantly negative average return on the stock market on Mondays. The present paper documents a twist on this effect. We find that abnormally low returns on Monday seem to follow stock market declines. In fact, the Monday effect virtually disappears when the market has previously risen. Cross, Keim-Stambaugh, and Jaffe-Westerfield point out that Monday's return is positively correlated with the previous Friday's return. Surprisingly our findings hold even after one accounts for this Friday–Monday correlation.