Boynton, Wentworth; Oppenheimer, Henry R.; Reid, Sean F. - In: Global Finance Journal 20 (2009) 1, pp. 1-12
We make tests on day-of-the-week stock market return patterns for Japan. We find that until the 1990s, Tuesdays have abnormal losses; in the 1990s, Tuesday losses disappear and Mondays have abnormal losses. Tests find that volume changes drive out the Monday loss.