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The Day-of-the-Week and the Week-of-the-Month Effects: An Analysis of Investors' Trading Activities

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Abstract

This study examines the positive Monday returns detected in the stock market during the 1988–1998 period and finds that (a) the positive Monday returns are concentrated in the first and the third weeks of the month, and (b) they are related to the increasing trading activities of institutional investors.

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Authors and Affiliations

  1. Department of Accounting, Economics and Finance, Texas A&M International University, 5201 University Boulevard, Laredo, Texas, 78041-1900, USA

    Jorge Brusa

  2. Department of Finance, Sam M. Walton College of Business, University of Arkansas, Fayetteville, Arkansas, 72701, USA

    Pu Liu

Authors
  1. Jorge Brusa
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  2. Pu Liu
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Brusa, J., Liu, P. The Day-of-the-Week and the Week-of-the-Month Effects: An Analysis of Investors' Trading Activities. Review of Quantitative Finance and Accounting 23, 19–30 (2004). https://doi.org/10.1023/B:REQU.0000037062.21050.3b

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  • DOI: https://doi.org/10.1023/B:REQU.0000037062.21050.3b

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