Date of Conferral

2021

Degree

Ph.D.

School

Business Administration

Advisor

Holly Rick

Abstract

The efficient market hypothesis (EMH) has served as the central theory in modern finance for more than half a century. The Monday effect, in which returns and trading volumes on Mondays are generally lower than other days of the week, is one of the anomalies of the EMH. Researchers postulated the different investment patterns of individual investors as an explanation for the Monday effect. The purpose of this comparative study is to examine the role of individual investors on the Monday effect in the United States stock market. This study involved using actual individual investor data from the New York Stock Exchange from May 2006 to April 2016. The study design is based on a non-experimental, quantitative, and comparative design and builds upon Fama’s EMH theory. The focus is to compare investors’ average daily returns, individual investor average daily trade percentages, and trading patterns on Monday with other weekdays. Using results from one-way ANOVA, study results demonstrated day of the week was not a factor in terms of average daily returns and individual investor daily trade percentages on Monday did not significantly differ from those on Tuesday, Wednesday, and Thursday. However, the percentage of individual investor trades on Fridays was significantly lower than individual investor trades on other weekdays. Days of the week had no effect on individual investor trading patterns. Results of this study may lead to positive social change by understanding individual investor trading behaviors, reducing information asymmetry, and increasing stock market liquidity.

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