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 virtual...

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Veröffentlicht in:	Journal of banking & finance 1989, Vol.13 (4), p.641-650
Hauptverfasser:	Jaffe, Jeffrey F., Westerfield, Randolph, Ma, Christopher
Format:	Artikel
Sprache:	eng
Schlagworte:	Common stock Correlation analysis Effects Manycountries Mathematical models Portfolio performance Securities markets Stock exchanges Stock prices Studies Volatility Weekly
Online-Zugang:	Volltext
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