Chinese institutional investors and Kamara's Monday effect
Mondays exhibit lower stock returns than Fridays, which is known as the Monday effect. Kamara (1997) argued that the Monday effect disappeared due to institutional trading and the introduction of derivative instruments. My paper tests this hypothesis using Chinese data. As institutional investors ar...
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| Format: | Article |
| Language: | English |
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2005.
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| Online Access: | Get fulltext |