The reversal of the Monday effect in Canada and the US

Author: 
Date created: 
2005
Abstract: 

This paper examines the Monday effect in US and Canadian equity markets and finds that: 1) the Monday effect in US and Canadian equity markets reversed during the period 1988 to 1998, and 2) there is a concentration of positive Monday returns during the first half of the month, i.e. the week-of-themonth distribution is more positive in the first and second Mondays of the month. Keywords: Monday (weekend) effect; US and Canadian equity markets; reversal; concentration of Monday returns in first half of the month; week-of-themonth distribution.

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Language: 
English
Document type: 
Thesis
Rights: 
Copyright remains with the author
File(s): 
Department: 
Faculty of Business Administration - Simon Fraser University
Thesis type: 
Research Project (M.B.A.)
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