Are there Monday effects in stock returns: a stochastic dominance approach

Cho, Young-Hyun, Linton, Oliver and Whang, Yoon-Jae (2006) Are there Monday effects in stock returns: a stochastic dominance approach. Financial Markets Group Discussion Papers (568). Financial Markets Group, The London School of Economics and Political Science, London, UK.

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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.

Item Type:	Monograph (Discussion Paper)
Official URL:	http://fmg.ac.uk
Additional Information:	© 2006 The Authors
Divisions:	Financial Markets Group
Subjects:	H Social Sciences > HF Commerce H Social Sciences > HG Finance H Social Sciences > HB Economic Theory
JEL classification:	C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C12 - Hypothesis Testing G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C15 - Statistical Simulation Methods; Monte Carlo Methods; Bootstrap Methods G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing; Futures Pricing
Date Deposited:	19 Jul 2009 19:09
Last Modified:	13 Sep 2024 20:00
URI:	http://eprints.lse.ac.uk/id/eprint/24520

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