The day-of-the-week anomaly: the role of institutional investors in Japan

A large 'day-of-the-week' literature shows abnormal losses on Mondays. Recent articles for US stocks focus on the role of the type of investor. The central idea in these articles is that the marginal-price setting changes on Monday. To identify the type of investor, these articles look at the proportion of stock ownership held by individuals and institutions. For an out-of-sample test to the US market studies, we study the Japanese stock market. Consistent with the US results, Japanese day-of-the-week patterns show Monday losses and strong Monday losses predicted by Friday losses. However, we find no evidence that the type of investor influences the Monday loss or Friday-to-Monday autocorrelation.