Join waitlist
The books... not free though
10 Strategier Som Slår BörsenSvenska10 Strategier Som Slår Börsen10 Strategies That Beat the MarketEnglish10 Strategies That Beat the MarketProRealTime Coding Made SimpleEnglishProRealTime Coding Made Simple
600+StatisticsMarket statistics and edges1,327StrategiesBacktested strategy library18Research papersThe study behind the algos301DocsProBuilder coding reference27Algo development programCourses and lessons24Everything here feeds the 24 algosSee the algos

Stats › Seasonality and calendar › Monday effect

The Monday effect ran for sixty years, flipped positive in the 1990s and has been zero since

1900s: -0.01-0.011900s1910s: -0.06-0.061910s1920s: -0.26-0.261920s1930s: -0.30-0.301930s1940s: -0.08-0.081940s1950s: -0.14-0.141950s1960s: -0.17-0.171960s1970s: -0.12-0.121970s1980s: -0.06-0.061980s1990s: 0.16+0.161990s2000s: 0.03+0.032000s2010s: 0.03+0.032010s

Average Monday return on the Dow Jones Industrial Average in percent, by decade, 1900 to 2018. Significant and negative in the 1920s through the 1980s. Significantly positive in the 1990s, which the source paper does not discuss. Not significant in the 2000s or 2010s. The 2010s row is shorter, covering 2010 to 2018.

Average Monday returns on the Dow were negative and significant in six consecutive decades, turned significantly positive in the 1990s, and have been statistically indistinguishable from zero in both of the decades since. What remains is confined to small caps.

-0.17%Average Monday return on the Dow, 1960 to 1969, t = -6.48
+0.16%The same for 1990 to 1999, t = +2.57
+0.03%The same for 2010 to 2018, not significant
+0.001%Monday abnormal return, value-weighted CRSP, 1989 to 2006, p = 0.49

Members only

The rest of this page is for members

Below this point there are 5 sections and 3 named sources, roughly 550 words of it. Every figure carries the source it came from and the date the data is from.

You can keep browsing every statistic in the library for free. The intro and the summary are always open.