We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
FINNISH DAY-OF-THE-WEEK EFFECTS.
- Authors
Martikainen, Teppo; Puttonen, Vesa
- Abstract
The article provides empirical evidence on day-of-the-week effects in Finnish financial markets. It investigates the day-of-the-week phenomenon in the Finnish stock market, where a Tuesday effect is identified. The article also provides some tentative explanations for this Tuesday effect. It hypothesizes that because of infrequent trading especially on Mondays, and short selling restrictions in stock markets, negative Mondays are not as clear in small European stock markets than in the US. The increased selling pressure during the weekend may be reflected in the stock markets with a lag on Tuesdays, because many selling orders placed on Mondays are executed on Tuesdays. This infrequent trading will increase the serial correlation in stock index returns, especially on Mondays. This phenomenon should not prevail in derivatives' markets. It has also been suggested, that the Monday effect is closely related to other anomalies, such as the January and firm size effects. However, none of these explanations appears to completely account for the existence of this anomaly.
- Publication
Journal of Business Finance & Accounting, 1996, Vol 23, Issue 7, p1019
- ISSN
0306-686X
- Publication type
Academic Journal
- DOI
10.1111/j.1468-5957.1996.tb01038.x