Brooks And Kim-The Individual Investor And The Weekend Effect – A Reexamination With Intraday Dat

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Brooks And Kim-The Individual Investor And The Weekend Effect – A Reexamination With Intraday Dat

It is a well known empirical finding that returns, on average, are negative on Monday. Miller (1988) suggests that this anomaly could be the result of individual investor trading activity. Lakonishok and Maberly (1990) and Abraham and Ikenberry (1994) use odd-lot trading as aproxy for individual investor trading patterns and jind evidence consistent  with this individual investor hypothesis. We reexamine investor trading activity using intraday trades and the size of transactions to proxy for individual and institutional investors. We find that trading activity is sig@icantly lower on Monday for large-size trades. Moreover, small-size trades have a higher percentage of sell orders on Monday morning compared to other days of the week. If srndl-size trades reflect individual investor activity and large-size  trades reject institutional investors then both types of investors play a role in the negative return on Monday. The individual traders directly contribute through their trading and institutional traders indirectly contribute through their withdrawal of liquidity.

 

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