The reversal of the Monday effect in Canada and the US

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(Research Project) M.B.A.
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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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