| Abstract: | 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. |
