The Reversal of the Monday Effect: New Evidence from US Equity Markets
使用1964-1999年美国五个股票指数的日收益率数据，发现1987年后大盘股指数周一收益率显著为正，即周一效应发生逆转，且大小盘股之间存在差异。
This article re‐examines the Monday effect in the US stock market from 1964–1999 using daily returns from three large‐cap indexes and two small‐cap indexes. In the period before 1987, Monday returns are significantly negative in all five US stock indexes, confirming previous empirical findings. In the post‐1987 period, we uncover a significant reversal of the Monday effect in the large‐cap indexes (NYSE, S&38;P500 and DJCOMP), since Monday returns are significantly positive. Furthermore, significant differences in the persistence and reversal of the Monday effect are found between large‐cap and small‐cap stock indexes.