Abstract ▼ AI-Helper

The purpose of this empirical study is to find out whether Monday Effect exists in Korean Stock Index Futures Market. The data are the opening and closing prices of KOSPI 200 Futures, from May 3, 1996 to September 30, 1999. This study also tests the hypothesis of no Monday Effect using several sub- ...

The purpose of this empirical study is to find out whether Monday Effect exists in Korean Stock Index Futures Market. The data are the opening and closing prices of KOSPI 200 Futures, from May 3, 1996 to September 30, 1999. This study also tests the hypothesis of no Monday Effect using several sub- periods. The descriptive statistics are calculated to test for the statistical significance of Monday Effect. Regressions with dummy variables are also performed. The study results are summarized as follows, Firstly, daily mean rates of return in the KOSPI 200 Futures from May 3, 1996 to September 30, 1999, show no significant Monday Effect. Secondly, for the sub-periods by the year, the rates of return on Monday was negative in the year 1996, while there was no significant Monday Effect in the remaining years. Thirdly, the open to close rate of return on Monday was significantly negative when the market transaction was allowed through Saturday. As the transaction on Saturday was cancelled in the market, significant differences in the mean rates of return on Monday and Wednesday occurred. Fourthly, the daily rate of return show similar pattern irrespective of the remaining periods in KOSPI 200 Futures Market.

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