of the world, Monday is a poor day, garnering negative returns not only
in the United States but also in Canada, the United Kingdom, Germany,
France, Japan, Korea, and Singapore. On the other hand, none of the
major countries have negative returns on Wednesday, Thursday, or Fri-
day. Tuesday is also a poor day for the market, especially in Asia and
Australia.^12 This might be due to the poor Monday just experienced in
Western countries, since daily returns in the United States have been
found to influence Asian markets the next day.
But the daily pattern of stock prices has changed dramatically.
Since 1990 Monday has gone from the worst to the best and Friday from
the best to the worst. This pattern might be an overreaction by traders to
the widespread publication of the daily data during the 1990s. KnowingCHAPTER 18 Calendar Anomalies 317
FIGURE 18–5
Daily Price Returns on the Dow Jones Industrial Average, 1885 through December 2006(^12) These results are taken from Hawawini and Keim, “On the Predictability of Common Stock Re-
turns,” pp. 497–544.