ABSTRACT
Levi (1982), and Lakonishok and Smidt (1988), among others. These empirical papers mostly find that Monday returns are significantly negative and Friday returns are higher than on the other days of the week. However, they differ in the time periods and the stock markets they cover as well as the number of firms and their characteristics. For example, Aggarwal and Rivoli studied the turn-of-the-year effect and the weekend effect in four emerging markets and provided evidence of high January returns and low Monday returns, similarly to the findings on developed countries’ equity markets. While Cross (1973), French (1980), Gibbons and Hess (1981), and Keim and Stambaugh (1984) studied the day-of-the-week anomalies in U.S. stock markets and found that Friday return is the highest and Monday return is the lowest, Jaffe and Westerfield (1985) examined the U.S., UK, Canada, Japan, and Australia stock markets and documented that Thursday return is the lowest in Japan and Australia stock markets. After an analysis on the Center for Research in Security Prices (CRSP) equally weighted and value-weighted indices for the period of 1964-1974, Lakonishok and Levi (1982) concluded Monday and Friday effects disappeared by the mid-1970s. On the other hand, Lakonishok and Smidt (1988) examined the seasonal anomalies in Dow Jones Industrial Average by using 90-year daily data and found significantly negative Monday returns.
