Sentiment changes and the Monday effect

Karam Kim; Doojin Ryu

doi:10.1016/j.frl.2022.102709

Sentiment changes and the Monday effect

Karam Kim
, Doojin Ryu

Department of Economics

Sungkyunkwan University

Research output: Contribution to journal › Article › peer-review

32 Scopus citations

Abstract

We examine whether investor sentiment changes explain the decrease in stock prices after weekends, also known as the Monday effect. Absolute changes in sentiment significantly and positively impact stock returns, whereas its positive impact declines after weekends. The negative stock returns on Mondays disappear after controlling for the impact of over-the-weekend sentiment changes under the pessimistic sentiment.

Original language	English
Article number	102709
Journal	Finance Research Letters
Volume	47
DOIs	https://doi.org/10.1016/j.frl.2022.102709
State	Published - Jun 2022

Keywords

Machine-learning
Monday effect
News sentiment
Sentiment change
Weekend effect

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10.1016/j.frl.2022.102709

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title = "Sentiment changes and the Monday effect",

abstract = "We examine whether investor sentiment changes explain the decrease in stock prices after weekends, also known as the Monday effect. Absolute changes in sentiment significantly and positively impact stock returns, whereas its positive impact declines after weekends. The negative stock returns on Mondays disappear after controlling for the impact of over-the-weekend sentiment changes under the pessimistic sentiment.",

keywords = "Machine-learning, Monday effect, News sentiment, Sentiment change, Weekend effect",

author = "Karam Kim and Doojin Ryu",

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year = "2022",

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doi = "10.1016/j.frl.2022.102709",

language = "English",

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T1 - Sentiment changes and the Monday effect

AU - Kim, Karam

AU - Ryu, Doojin

PY - 2022/6

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N2 - We examine whether investor sentiment changes explain the decrease in stock prices after weekends, also known as the Monday effect. Absolute changes in sentiment significantly and positively impact stock returns, whereas its positive impact declines after weekends. The negative stock returns on Mondays disappear after controlling for the impact of over-the-weekend sentiment changes under the pessimistic sentiment.

AB - We examine whether investor sentiment changes explain the decrease in stock prices after weekends, also known as the Monday effect. Absolute changes in sentiment significantly and positively impact stock returns, whereas its positive impact declines after weekends. The negative stock returns on Mondays disappear after controlling for the impact of over-the-weekend sentiment changes under the pessimistic sentiment.

KW - Machine-learning

KW - Monday effect

KW - News sentiment

KW - Sentiment change

KW - Weekend effect

UR - https://www.scopus.com/pages/publications/85123839926

U2 - 10.1016/j.frl.2022.102709

DO - 10.1016/j.frl.2022.102709

M3 - Article

AN - SCOPUS:85123839926

SN - 1544-6123

VL - 47

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 102709

ER -

Sentiment changes and the Monday effect

Abstract

Keywords

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