AbstractThere is an extensive literature on the Monday effect with stock indices. It is regularly reported that the return on Monday is correlated with the return on the prior Friday. The bad Monday effect occurs when the return on the preceding Friday is negative. Cotton is an economically important commodity in the United States and around the world. This investigation into the daily price seasonality in the U.S. cotton market is based on spot prices from Memphis and futures prices from the New York Cotton Exchange. The regression methodologies employ adjustments to control for undesirable properties in the error terms. There are three main conclusions. First, the close‐to‐close changes in the futures price and in the spot price exhibit a negative Monday effect. Second, a negative bad Monday effect is observed on Mondays using close‐to‐close prices. The effect is present during the weekend nontrading period and continues into trading on Mondays. Third, the negative bad Monday effect does not appear to weaken in close‐to‐close prices and during the weekend over the period examined (1987–2003). However, there is weak evidence of a temporal decline during trading on Mondays. [EconLit Citations: G12, G14, Q14]. © 2009 Wiley Periodicals, Inc.