Research Article
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Year 2023, , 93 - 109, 30.06.2023
https://doi.org/10.25229/beta.1263271

Abstract

References

  • Addinpujoartanto, N. A. (2019). Analysis of january effect on big stock companies and small stock companies at indonesia stock exchange. International Journal of Business, Humanities, Education and Social Sciences (IJBHES), 1(2), 47-56.
  • Agrawal, A. & Tandon, K. (1994). Anomalies or illusions? Evidence from stock markets in eighteen countries. Journal of International Money and Finance, 13(1), 83-106.
  • Arsad, Z. & Andrew Coutts, J. (1997). Security price anomalies in the London International Stock Exchange: a 60 year perspective. Applied Financial Economics, 7(5), 455-464.
  • Baker, H. K., Rahman, A. & Saadi, S (2008). The day-of-the-week effect and conditional volatility: Sensitivity of error distributional assumptions. Review of Financial Economics, 17(4), 280-295.
  • Basher, S. A. & Sadorsky, P. (2006). Day-of-the-week effects in emerging stock markets. Applied Economics Letters, 13(10), 621-628.
  • Brooks, C. & Persand, G. (2001). Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects. Applied Economics Letters, 8(3), 155-158.
  • Cai, J., Li, Y. & Qi, Y. (2006). The day-of-the-week effect: New evidence from the Chinese stock market. Chinese Economy, 39(2), 71-88.
  • Chawla, V. & Shastri, M. (2023). Day of week effect: an empirical study for Indian Stock Markets. International Journal of Business and Globalisation, 33(3), 326-343.
  • Cross, F. (1973). The behavior of stock prices on Fridays and Mondays. Financial Analysts Journal, 29(6), 67-69.
  • Dicle, M. F. & Levendis, J. D. (2014). The day-of-the-week effect revisited: international evidence. Journal of Economics and Finance, 38, 407-437.
  • Du Toit, E., Hall, J. H., & Pradhan, R. P. (2018). The day-of-the-week effect: South African stock market indices. African Journal of Economic and Management Studies.
  • Edwards, S., Biscarri, J., G. & Gracia, F., P. (2003). Stock market cycles, financial liberalization and volatility. Journal of International Money and Finance, 22(7), 925-955.
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.
  • Fields, M. J. (1931). Stock prices: a problem in verification. The Journal of Business of the University of Chicago, 4(4), 415-418.
  • French, K. R. (1980). Stock returns and the weekend effect. Journal of Financial Economics, 8(1), 55-69.
  • Gharaibeh, O. (2017). The january effect: evidence from four Arabic market indices. International Journal of Academic Research in Accounting, Finance and Management Sciences, 7(1), 144-150.
  • Gibbons, M. R. & Hess, P. (1981). Day of the week effects and asset returns. Journal of Business, 579-596.
  • Holden, K., Thompson, J. & Ruangrit, Y. (2005). The Asian crisis and calendar effects on stock returns in Thailand. European Journal of Operational Research, 163(1), 242-252.
  • Jaffe, J. & Westerfield, R. (1985). The week‐end effect in common stock returns: The international evidence. The Journal of Finance, 40(2), 433-454.
  • Kato, K. & Schallheim, J. S. (1985). Seasonal and size anomalies in the Japanese stock market. Journal of Financial and Quantitative Analysis, 20(2), 243-260.
  • Kling, G. & Gao, L. (2005). Calendar effects in Chinese stock market. Annals of Economics and Finance, 6(1), 75-88.
  • Liu, L.-M. (1986). Identification of time series models in the presence of calendar variation. International Journal of Forecasting, 2(3), 357-372.
  • Lu, X. & Gao, H. (2016). The day of the week effect in Chinese stock market. The Journal of Asian Finance, Economics and Business, 3(3), 17-26.
  • Mehdian, S. & Perry, M. J. (2001). The reversal of the Monday effect: new evidence from US equity markets. Journal of Business Finance and Accounting, 28(7‐8), 1043-1065.
  • Merrill, A. A. (1966). Behavior of prices on Wall Street. Analysis Press.
  • Mustafa, K. (2008). The Islamic calendar effect on Karachi stock market. Global Business Review, 13(3), pp. 562-574.
  • Novotná, M. & Zeng, J. (2017). Evidence of the weekday effect anomaly in the Chinese stock market. Central European Review of Economic Issues, 20, 133-144.
  • Perez, G. (2018). Monday effect in the Chinese stock market. International Journal of Financial Research, 9(1), 1-7.
  • Rounaghi, M. M. & Zadeh, F. N. (2016). Investigation of market efficiency and financial stability between S&P 500 and London stock exchange: monthly and yearly forecasting of time series stock returns using ARMA model. Physica A: Statistical Mechanics and its Applications, 456, 10-21.
  • Solnik, B. & Bousquet, L. (1990). Day-of-the-week effect on the Paris Bourse. Journal of Banking and Finance, 14(2-3), 461-468.
  • Truong, L. D. & Friday, H. S. (2021). The January Effect and Lunar New Year Influences in Frontier Markets: Evidence from the Vietnam Stock Market. International Journal of Economics and Financial Issues, 11(2), 28.
  • Winkelried, D. & Iberico, L. A. (2018). Calendar effects in Latin American stock markets. Empirical Economics, 54(3), 1215-1235.
  • Worthington, A. C. (2010). The decline of calendar seasonality in the Australian stock exchange, 1958–2005. Annals of Finance, 6(3), 421-433.
  • Xiao, B. (2016). The monthly effect and the day of the week effect in the American stock market. International Journal of Financial Research, 7(2), 11-17.
  • Xiong, H.,Wu, Z. ,Hou, F. & Zhang, J. (2020). Which firm-specific characteristics affect the market reaction of Chinese listed companies to the COVID-19 pandemic? Emerging Markets Finance and Trade, 56(10), 2231-2242.
  • Yuan, T. & Gupta, R. (2014). Chinese Lunar New Year effect in Asian stock markets, 1999–2012. The Quarterly Review of Economics and Finance, 54(4), 529-537.
  • Zhang, J., Lai, Y. & Lin, J. (2017). The day-of-the-week effects of stock markets in different countries. Finance Research Letters, 20, 47-62.

Investigation of Monday Effect in the American and Chinese Stock Markets

Year 2023, , 93 - 109, 30.06.2023
https://doi.org/10.25229/beta.1263271

Abstract

This paper investigates the presence of the Monday effect in the American and Chinese stock markets. The data uses the Russell 1000 index from the American stock market, as well as the Gem composite index from the Chinese stock market in the period 2012 to 2021. Moreover, this paper chooses the GARCH model and the ARMA-GARCH model to investigate the Monday effect in two different stock markets. As a result, there is no evidence to find the presence of the Monday effect in the two stock markets. Nonetheless, there is still the existence of the calendar effect in the two stock markets. We ensure the credibility of results by checking for the potential bias of COVID-19 pandemic, by omitting the last two years from the data and also changing the estimation method to OLS. Results remain parallel to our main empirical findings.

References

  • Addinpujoartanto, N. A. (2019). Analysis of january effect on big stock companies and small stock companies at indonesia stock exchange. International Journal of Business, Humanities, Education and Social Sciences (IJBHES), 1(2), 47-56.
  • Agrawal, A. & Tandon, K. (1994). Anomalies or illusions? Evidence from stock markets in eighteen countries. Journal of International Money and Finance, 13(1), 83-106.
  • Arsad, Z. & Andrew Coutts, J. (1997). Security price anomalies in the London International Stock Exchange: a 60 year perspective. Applied Financial Economics, 7(5), 455-464.
  • Baker, H. K., Rahman, A. & Saadi, S (2008). The day-of-the-week effect and conditional volatility: Sensitivity of error distributional assumptions. Review of Financial Economics, 17(4), 280-295.
  • Basher, S. A. & Sadorsky, P. (2006). Day-of-the-week effects in emerging stock markets. Applied Economics Letters, 13(10), 621-628.
  • Brooks, C. & Persand, G. (2001). Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects. Applied Economics Letters, 8(3), 155-158.
  • Cai, J., Li, Y. & Qi, Y. (2006). The day-of-the-week effect: New evidence from the Chinese stock market. Chinese Economy, 39(2), 71-88.
  • Chawla, V. & Shastri, M. (2023). Day of week effect: an empirical study for Indian Stock Markets. International Journal of Business and Globalisation, 33(3), 326-343.
  • Cross, F. (1973). The behavior of stock prices on Fridays and Mondays. Financial Analysts Journal, 29(6), 67-69.
  • Dicle, M. F. & Levendis, J. D. (2014). The day-of-the-week effect revisited: international evidence. Journal of Economics and Finance, 38, 407-437.
  • Du Toit, E., Hall, J. H., & Pradhan, R. P. (2018). The day-of-the-week effect: South African stock market indices. African Journal of Economic and Management Studies.
  • Edwards, S., Biscarri, J., G. & Gracia, F., P. (2003). Stock market cycles, financial liberalization and volatility. Journal of International Money and Finance, 22(7), 925-955.
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.
  • Fields, M. J. (1931). Stock prices: a problem in verification. The Journal of Business of the University of Chicago, 4(4), 415-418.
  • French, K. R. (1980). Stock returns and the weekend effect. Journal of Financial Economics, 8(1), 55-69.
  • Gharaibeh, O. (2017). The january effect: evidence from four Arabic market indices. International Journal of Academic Research in Accounting, Finance and Management Sciences, 7(1), 144-150.
  • Gibbons, M. R. & Hess, P. (1981). Day of the week effects and asset returns. Journal of Business, 579-596.
  • Holden, K., Thompson, J. & Ruangrit, Y. (2005). The Asian crisis and calendar effects on stock returns in Thailand. European Journal of Operational Research, 163(1), 242-252.
  • Jaffe, J. & Westerfield, R. (1985). The week‐end effect in common stock returns: The international evidence. The Journal of Finance, 40(2), 433-454.
  • Kato, K. & Schallheim, J. S. (1985). Seasonal and size anomalies in the Japanese stock market. Journal of Financial and Quantitative Analysis, 20(2), 243-260.
  • Kling, G. & Gao, L. (2005). Calendar effects in Chinese stock market. Annals of Economics and Finance, 6(1), 75-88.
  • Liu, L.-M. (1986). Identification of time series models in the presence of calendar variation. International Journal of Forecasting, 2(3), 357-372.
  • Lu, X. & Gao, H. (2016). The day of the week effect in Chinese stock market. The Journal of Asian Finance, Economics and Business, 3(3), 17-26.
  • Mehdian, S. & Perry, M. J. (2001). The reversal of the Monday effect: new evidence from US equity markets. Journal of Business Finance and Accounting, 28(7‐8), 1043-1065.
  • Merrill, A. A. (1966). Behavior of prices on Wall Street. Analysis Press.
  • Mustafa, K. (2008). The Islamic calendar effect on Karachi stock market. Global Business Review, 13(3), pp. 562-574.
  • Novotná, M. & Zeng, J. (2017). Evidence of the weekday effect anomaly in the Chinese stock market. Central European Review of Economic Issues, 20, 133-144.
  • Perez, G. (2018). Monday effect in the Chinese stock market. International Journal of Financial Research, 9(1), 1-7.
  • Rounaghi, M. M. & Zadeh, F. N. (2016). Investigation of market efficiency and financial stability between S&P 500 and London stock exchange: monthly and yearly forecasting of time series stock returns using ARMA model. Physica A: Statistical Mechanics and its Applications, 456, 10-21.
  • Solnik, B. & Bousquet, L. (1990). Day-of-the-week effect on the Paris Bourse. Journal of Banking and Finance, 14(2-3), 461-468.
  • Truong, L. D. & Friday, H. S. (2021). The January Effect and Lunar New Year Influences in Frontier Markets: Evidence from the Vietnam Stock Market. International Journal of Economics and Financial Issues, 11(2), 28.
  • Winkelried, D. & Iberico, L. A. (2018). Calendar effects in Latin American stock markets. Empirical Economics, 54(3), 1215-1235.
  • Worthington, A. C. (2010). The decline of calendar seasonality in the Australian stock exchange, 1958–2005. Annals of Finance, 6(3), 421-433.
  • Xiao, B. (2016). The monthly effect and the day of the week effect in the American stock market. International Journal of Financial Research, 7(2), 11-17.
  • Xiong, H.,Wu, Z. ,Hou, F. & Zhang, J. (2020). Which firm-specific characteristics affect the market reaction of Chinese listed companies to the COVID-19 pandemic? Emerging Markets Finance and Trade, 56(10), 2231-2242.
  • Yuan, T. & Gupta, R. (2014). Chinese Lunar New Year effect in Asian stock markets, 1999–2012. The Quarterly Review of Economics and Finance, 54(4), 529-537.
  • Zhang, J., Lai, Y. & Lin, J. (2017). The day-of-the-week effects of stock markets in different countries. Finance Research Letters, 20, 47-62.
There are 37 citations in total.

Details

Primary Language English
Subjects Business Administration
Journal Section Articles
Authors

Xinyu Yang This is me 0009-0004-5285-4320

İlayda Nemlioğlu 0000-0003-4886-963X

Early Pub Date June 30, 2023
Publication Date June 30, 2023
Submission Date March 10, 2023
Acceptance Date May 9, 2023
Published in Issue Year 2023

Cite

APA Yang, X., & Nemlioğlu, İ. (2023). Investigation of Monday Effect in the American and Chinese Stock Markets. Bulletin of Economic Theory and Analysis, 8(1), 93-109. https://doi.org/10.25229/beta.1263271