Does mood explain the Monday effect?

Article English OPEN
Abu Bakar, Azizah ; Siganos, Antonios ; Vagenas-Nanos, Evangelos (2014)
  • Publisher: Wiley
  • Related identifiers: doi: 10.1002/for.2305
  • Subject:
    mesheuropmc: education | human activities

A number of studies have explored the sources of the Monday effect, according to which returns are on average negative on Mondays. We contribute to the literature by exploring whether a direct measure of mood explains the Monday effect. In line with psychological literature, a greater proportion of investors is more pessimistic in the early days of the week, and become more optimistic as the week progresses. We use novel daily mood data from Facebook across twenty international markets to explore the impact of mood on the Monday anomaly. We find that the Monday effect disappears after controlling for mood. In line with our hypothesis that mood drives the Monday effect, we find that the Monday effect is more prominent within small capitalisation indices and within collectivist and high uncertainty avoidance countries. Investors could consider mood levels to forecast Mondays with more (less) pronounced negative returns.
  • References (6)

    Abraham, A., Ikenberry, D. L. 1994. The individual investor and weekend effect. Journal of

    Financial and Quantitative Analysis 29: 263-277.

    Keim, D. B., Stambaugh, R. F. 1984. A further investigation of the weekend effect in stock

    returns. Journal of Finance 39: 819-835.

    Rystrom, D. S., Benson, E. D. 1989. Investor psychology and the day-of-the-week effect.

    Financial Analysts Journal 75-78. A. Returns on days with the highest 10 percent mood

  • Metrics
    No metrics available
Share - Bookmark