New Evidence on the Monday Seasonal in Stock Returns

Kamara, Avraham

doi:10.1086/209708

Cited by 132 publications

(137 citation statements)

References 15 publications

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“…However, most of these studies observe that the Monday effect is persistent within smaller capitalisation indices. For instance, Kamara (1997) found that the Monday effect was present in both large and small stocks before the introduction of futures in the contract in the US stock market in 1982. After that period, however, Kamara (1997) found that the Monday effect disappeared within large capitalisation firms but persisted within counterpart small capitalisation firms.…”

Section: Literature Reviewmentioning

confidence: 99%

“…For instance, Kamara (1997) found that the Monday effect was present in both large and small stocks before the introduction of futures in the contract in the US stock market in 1982. After that period, however, Kamara (1997) found that the Monday effect disappeared within large capitalisation firms but persisted within counterpart small capitalisation firms. This finding is in line with Gibbons and Hess (1981) and Brusa et al (2000).…”

Section: Literature Reviewmentioning

confidence: 99%

“…However, they used indirect proxies of mood: discounts on closed-end funds, returns on small stocks, consumer confidence and consumer reluctance to buy a house. Their study also focused on the US market, where the Monday effect has been weakly evident (Kamara, 1997). We contribute to the literature by using a direct proxy of mood based on Facebook's index, which is available for twenty international markets.…”

Section: Literature Reviewmentioning

confidence: 99%

“…However, they only used indirect proxies of mood: discounts on closed-end funds, returns on small stocks, consumer confidence and consumer reluctance towards buying a house. They also only explored results within the US market, where the Monday effect has been weakly evident (e.g., Kamara, 1997). Regardless, Gondhalekar and Mehdian (2003) found that the Monday effect is more pronounced in periods of pessimism, signalling that an irrational explanation may drive the Monday effect.…”

Section: Introductionmentioning

confidence: 99%

“…Our study is the first to use Facebook's data to focus on the Monday effect. The availability of international mood data from Facebook does not limit our research to developed markets (such as the US), where the Monday effect is weakly evident (e.g., Kamara, 1997). As preliminary analysis, Figure 1 shows returns per day of the week on days with the highest (Panel A) and lowest (Panel B) 10 percent mood.…”

Section: Introductionmentioning

confidence: 99%

See 4 more Smart Citations

Does Mood Explain the Monday Effect?

Bakar

Siganos

Vagenas‐Nanos

2014

Journal of Forecasting

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A number of studies have explored the sources of the Monday effect, according to which returns are on average negative on Mondays. We contribute to the literature by exploring whether a direct measure of mood explains the Monday effect. In line with psychological literature, a greater proportion of investors is more pessimistic in the early days of the week, and become more optimistic as the week progresses. We use novel daily mood data from Facebook across twenty international markets to explore the impact of mood on the Monday anomaly. We find that the Monday effect disappears after controlling for mood. In line with our hypothesis that mood drives the Monday effect, we find that the Monday effect is more prominent within small capitalisation indices and within collectivist and high uncertainty avoidance countries. Investors could consider mood levels to forecast Mondays with more (less) pronounced negative returns.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Does Mood Explain the Monday Effect?

Bakar

Siganos

Vagenas‐Nanos

2014

Journal of Forecasting

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Seasonal Anomalies

Dzhabarov¹,

Ziemba²

2012

The Handbook of Equity Market Anomalies

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Expiration day effects: The case of Hong Kong

Chow

Yung

Zhang

2002

Journal of Futures Markets

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Regulators around the world often express concerns about the high volatility of stock markets due to index derivative expirations. Earlier studies of expiration day effects have found large volume effects, abnormal return volatility, and price effects during the last hour of trading on expiration days when the settlement is based on the closing price. This article examines the impact of the expiration of Hang Seng Index (HSI) derivatives on the underlying cash market in Hong Kong for the period from 1990 to 1999. The HSI derivative market is different from most other markets in the sense that the settlement price is computed by taking the average of 5-minute quotations of the HSI on the last trading day, thus providing an alternative setting for testing expiration day effects. Our empirical findings indicate that expiration days in Hong Kong may be associated with a negative price effect and some return volatility on the underlying stock market,

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New Evidence on the Monday Seasonal in Stock Returns

Cited by 132 publications

References 15 publications

Does Mood Explain the Monday Effect?

Does Mood Explain the Monday Effect?

Seasonal Anomalies

Expiration day effects: The case of Hong Kong

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