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• W947642023 abstract "This paper employs a new testing procedure for detecting the presence of Monday effects using high-frequency intraday data. Our approach to test the Monday effect is based on spatial dominance, which enables us to analyze the expected sum of instantaneous utilities during trading hours by considering the intraday patterns of returns. The testing of the methods used in previous studies compares the expected utilities only at a specific time, usually market closing time. Empirical results from our tests provide strong evidence of the Monday effect for the 1983 to 1987 period. We also find that the Monday effect is driven by large negative returns accrued during early Monday mornings, The conventional analyses for the Monday effect, such as regression analysis and stochastic dominance, cannot provide strong evidence of the Monday effect for the same period because these testing methods do not consider the return behavior during Monday mornings." @default.
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• W947642023 date "2012-06-01" @default.
• W947642023 modified "2023-10-17" @default.
• W947642023 title "Testing the Monday Effect using High-frequency Intraday Returns: A Spatial Dominance Approach" @default.
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