Abstract
A large ‘day-of-the-week’ literature shows abnormal losses on Mondays. Recent articles for US stocks focus on the role of the type of investor. The central idea in these articles is that the marginal-price setting changes on Monday. To identify the type of investor, these articles look at the proportion of stock ownership held by individuals and institutions. For an out-of-sample test to the US market studies, we study the Japanese stock market. Consistent with the US results, Japanese day-of-the-week patterns show Monday losses and strong Monday losses predicted by Friday losses. However, we find no evidence that the type of investor influences the Monday loss or Friday-to-Monday autocorrelation.
Notes
1The issues examined include, but are not limited to, pricing at the close (Keim and Stambaugh, Citation1984), market settlement requirements (Gibbons and Hess, Citation1981; Lakonishok and Levi, Citation1982; Damodaran, Citation1989), delays in announcements of unfavourable earnings (Penman, Citation1987; Damodaran, Citation1989), changes in demands of individual investors and exchange rate changes (Jaffe and Westerfield, Citation1985a,Citationb). Other articles that suggest frictions include Admati and Pfleiderer (Citation1989) and Chen and Singal (Citation2003).
2Lehmann and Modest (Citation1994), Kim and Oppenheimer (Citation2002) and Hamao and Hasbrouck (Citation1995) provide a detailed description of the trading mechanisms in the Japanese markets as well as a thorough discussion of the role of the satori.
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