haku: @author Perry, M. J. / yhteensä: 3
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| Tekijä: | Mehdian, S. Perry, M. J. |
| Otsikko: | The Reversal of the Monday Effect: New Evidence from US Equity Markets |
| Lehti: | Journal of Business Finance and Accounting
2001 : VOL. 28:7-8, p. 1043-1065 |
| Asiasana: | MARKET EFFICIENCY FINANCE STOCK MARKETS |
| Kieli: | eng |
| Tiivistelmä: | This article re-examines the Monday effect in the US stock market from 1964-1999 using daily returns from three large-cap indexes and two small-cap indexes. In the period before 1987, Monday returns are significantly negative in all five US stock indexes, confirming previous empirical findings. In the post-1987 period, the authors uncover a significant reversal of the Monday effect in the large-cap indexes (NYSK, S& P500 and UJCOMP), since Monday returns are significantly positive. Furthermore, significant differences in the persistence and reversal of the Monday effect are found between large-cap and small-cap stock indexes. |
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