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May 25, 2024 |
The Behavior of Stock Prices on Fridays and Mondays, by Frank Cross
Financial Analysts Journal, November-December 1973
The objective of this article is to document an example of non-random movements in stock prices. Specifically, we shall examine the distribution of price changes on Fridays and Mondays, and the relationship that exists between price changes on those two days. Other researchers have found little or no evidence of dependence in successive daily price changes. Apparently, however, these researchers have not investigated the possibility that dependence might occur on some days of the week but not on others.
Frank Cross is Secretary and Treasurer of Niederhoffer, Cross & Zeckhauser, Inc. The author wishes to express his thanks to Dr. Victor Niederhoffer for his helpful suggestions concerning this paper.
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