MONDAY EFFECT DURING DIFFERENT MARKET STATES: THE INTERNATIONAL EVIDENCE
Bibliographic record
Abstract
Monday effect, also known as the weekend effect, occurs when stocks display significantly lower returns on Monday. In this study, we investigate the influence of bull and bear market conditions on the Monday effect in nine major equity markets, namely, Australia, Canada, France, Germany, Hong Kong, Japan, Switzerland, United Kingdom, and United States. We analyze the daily returns of stock market indices of nine developed equity markets of the world. We employ regression model with indicator variables to test our hypotheses. Additionally, we use chi-square statistics based on heteroskedasticity consistent covariance estimates to test the significance of our hypotheses. We report four major findings. First, we find that Monday returns are negative and significant, that is the Monday effect exists, only during the bear market conditions. Interestingly, our second finding suggests that Monday effect does not exist during advancing market. In fact, our results show that Monday returns are positive and significant during the bull market. Third, we find that even if these anomalies exist, large standard deviation of daily returns may not provide any arbitrage opportunities. Finally, we provide evidence suggesting volatility of Monday returns is higher than that of non-Monday daily returns. This pattern is consistent for both, bear and bull, markets.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.001 |
| Open science | 0.001 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".