Day-of-the-week trading patterns of individual and institutional investors

Morse, Joel and Nguyen, Hoang and Quach, Hao (2015) Day-of-the-week trading patterns of individual and institutional investors. Global Business and Finance Review, 19 (2). pp. 53-60. ISSN 1088-6931

Full content URL: http://dx.doi.org/10.17549/gbfr.2014.19.2.53

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Abstract

This study examines the day-of-the-week trading patterns of individual and institutional investors. Consistent with previous evidence, we find an increase in the proportion of Monday trading volume attributable to individual investors relative to other days of the week. However, we document that this increase results from a reduction in trading by institutional investors, rather than from an absolute increase in trading by individual investors. In fact, the absolute trading volume by individual investors is significantly lower on Monday than on any other

weekday. We also document that the degree of day-of-the-week effect varies with the quality and

dissemination of public information proxied by the market capitalization of each company.

Keywords:stock market, trading pattern, day of the week, JCOpen
Subjects:N Business and Administrative studies > N300 Finance
N Business and Administrative studies > N321 Investment
Divisions:Lincoln International Business School
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ID Code:16058
Deposited On:23 Nov 2014 13:13

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