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Twist-of-the-Monday Effect: Evidence from United State and 18 Selected European Union Stock Markets

Author

Listed:
  • Chia Ricky Chee-Jiun

    (Labuan school of International Business and Finance, Universiti Malaysia Sabah)

  • Lim Shiok Ye

    (Labuan School of International Business and Finance, Universiti Malaysia Sabah.)

Abstract

This study found evidence on the twist-of-the-Monday effect, where returns on Mondays are influenced by the previous week's returns in Finland, Greece, Hungary, Netherlands, Portugal and Sweden stock markets. Interestingly, the tendency to follow previous week return is not limited to Monday only. Friday returns are also found to be influenced by the market performance of the previous week in Finland and Poland stock markets. Thus, international investors may benefit from the twist-of-the-Monday effect in developing a suitable trading strategy to obtain extra returns from these markets.

Suggested Citation

  • Chia Ricky Chee-Jiun & Lim Shiok Ye, 2011. "Twist-of-the-Monday Effect: Evidence from United State and 18 Selected European Union Stock Markets," Economics Bulletin, AccessEcon, vol. 31(4), pages 3113-3122.
    • Handle: RePEc:ebl:ecbull:eb-11-00610
    as

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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Twist-of-the-Monday Effect; European Union Stock Markets;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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