| dc.description.abstract | The Monday or weekend effect is the belief that securities market returns on Mondays are
consistently less than the other days of the week, and are often negative. Many studies
have documented it since the nineteen-twenties, though, no theory has adequately
explained the reasons it exists. Studies conducted have suggested the existence of a
Monday effect for a diverse range of securities, from equities to debt to commodities.
This study was a confirmatory quest to establish whether this phenomenon is prevalent
among the securities traded on the Nairobi Securities Exchange. Further it sought to
establish the nature of the manifestation of this weekend effect if it exists. This was to be
investigated b finding how the weekend returns relate to the weekly return average. The
period of study spanned the five years beginning January 2007 to December 2011 and
covering all the listed firms during that period.
This study used the regression analysis model that utilized the weekly average returns as
the dependent variable and the Monday returns as the independent variable. The
regression intercept of the relation was found to be zero. The values of the returns
showed that 56.4% of the weekends had negative returns which meant that during such
weekends Monday stock prices were less that the Friday prices of stock. The returns that
were positive and could not round to zero were 20%. This means some weeks
experienced the weekend effect that produced negative returns irrespective of the average
of the week while in other weeks the weekend effect manifested by having returns higher
that the weeks average. | en |
