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

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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Year of publication:	2004
Authors:	Brusa, Jorge ; Liu, Pu
Published in:	Review of Quantitative Finance and Accounting. - Springer. - Vol. 23.2004, 1, p. 19-30
Publisher:	Springer

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005701304