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Peter J Bush,Seyed Mehdian People&Global Business Association 2014 Global Business and Finance Review Vol.19 No.1
This article examines the Monday effect in the Dow Jones Industrial Average (DJIA) and each of its component stocks for the periods of 1962 to 1982, 2003 to 2008, and 2009 to 2012. We extend our investigation over multiple time periods to explore whether individual component securities behave in the same way as the broader index to which they are linked over time. The results provide evidence to support the presence of the Monday effect in the DJIA and its component stocks during the early period of 1962 to 1982 while no statistically significant Monday effect is found in the latter periods of 2003 to 2008 and 2009 to 2012. These findings suggest that a transformation has occurred in U.S. equity markets such that the Monday effect has reduced or disappeared in both the market-wide index and its component stocks. We conclude that this transformation is perhaps due to the faster speed of dissemination of information domestically or globally; consequently, no trading rule that is based on daily anomalies can be exploited to generate an abnormal return.