Three Essays on the Monday Effect: An Analysis of Domestic and International Composite Market Indices, Sub Indices, and Individual Securities.

摘要

This dissertation intends to expand the current body of research and information regarding the Monday effect and its presence in different markets and over different periods of time. This dissertation explores in an innovative way the challenge to the EMH presented by the Monday effect. The innovative contribution of this dissertation is the study of the Monday effect in three market indices and in each component of these indices to understand better the total scope of the Monday effect and whether all of the index components behave in the same manner as the index as a whole.;This dissertation specifically focuses on those relationships in a number of different markets to evaluate whether there is evidence that these individual securities (or sub-indices) react in the same manner as the broader index to which they are linked. The dissertation consists of three essays, each of which is focused in the following manner. Essay ;The conclusion of the dissertation is that evidence was found to support the existence of the Monday effect in the early period of the Dow Jones Industrial Average (DJIA) and its component stocks. In the latter period of the DJIA and in the other two essays no statistically significant evidence was found to support the existence of the Monday effect.