# Tell Me Why I Do Not Like Mondays

^{*}

## Abstract

**:**

## 1. Introduction

## 2. Literature Review

#### 2.1. Explanations Based on Investors’ Rational Considerations

#### 2.2. Explanations Based on Investors’ Irrationality

## 3. Data

- (1)
- The first conjectures that the implied volatility is equal across weekdays. Based on the findings, we rejected this hypothesis for all of the sampled securities, as evident by the significant F-statistic values.
- (2)
- The second hypothesis postulates that changes in the VIX are equal on Monday and Friday. Based on the findings, we rejected this hypothesis as well.
- (3)
- Last, we checked whether the mean returns on the VIX are equal on Monday, Tuesday, Wednesday, and Thursday.

Panel A: Level Data in (%). | |||||||||||

VXAZN | VXAPL | VXGSCLS | VXGOG | VXIBM | VXD | VXN | RVX | TYVIX | |||

Mean | 31.69 a | 28.00 a | 26.92 a | 24.61 a | 21.84 a | 14.82 a | 25.28 a | 20.13 a | 4.98 a | ||

Med. | 29.86 | 27.33 | 25.34 | 23.86 | 20.63 | 13.93 | 20.01 | 18.56 | 4.93 | ||

Max. | 66.06 | 62.60 | 74.88 | 55.60 | 51.72 | 42.67 | 83.00 | 57.66 | 8.62 | ||

Min. | 5.13 | 12.52 | 16.16 | 9.21 | 13.23 | 7.58 | 10.31 | 11.83 | 3.16 | ||

Stdev. | 8.63 | 6.55 | 7.57 | 6.20 | 4.96 | 3.72 | 13.76 | 6.01 | 0.95 | ||

Skew. | 0.66 | 0.84 | 2.13 | 0.89 | 1.23 | 1.68 | 1.83 | 2.53 | 0.66 | ||

Kurt. | 3.19 | 4.15 | 9.63 | 4.13 | 5.29 | 7.76 | 5.85 | 10.96 | 3.42 | ||

#Obs | 2148 | 2148 | 2112 | 2148 | 2148 | 1602 | 4825 | 2149 | 1697 | ||

Sample Period | 2011:08 to 2020:02 | 2011:08 to 2020:02 | 2011:10 to 2020:02 | 2011:08 to 2020:02 | 2011:08 to 2020:02 | 2013:10 to 2020:02 | 2000:10 to 2020:02 | 2011:08 to 2020:02 | 2013:05 to 2020:02 | ||

Panel B: Correlation between the Volatility Measures. | |||||||||||

VXD | VXN | RVX | TYVIX | VXAZN | VXAPL | VXGSCLS | VXGOG | VXIBM | |||

VXN | 0.95 *** | 1.00 | |||||||||

[124.97] | ----- | ||||||||||

RVX | 0.96 *** | 0.90 *** | 1.00 | ||||||||

[138.11] | [86.49] | ----- | |||||||||

TYVIX | 0.53 *** | 0.46 *** | 0.60 *** | 1.00 | |||||||

[25.85] | [21.25] | [31.11] | ----- | ||||||||

VXAZN | 0.62 *** | 0.65 *** | 0.61 *** | 0.33 *** | 1.00 | ||||||

[32.25] | [35.63] | [31.39] | [14.20] | ----- | |||||||

VXAPL | 0.84 *** | 0.83 *** | 0.81 *** | 0.51 *** | 0.75 *** | 1.00 | |||||

[63.81] | [62.29] | [57.09] | [24.58] | [46.21] | ----- | ||||||

VXGSCLS | 0.92 *** | 0.90 *** | 0.93 *** | 0.58 *** | 0.56 *** | 0.80 *** | 1.00 | ||||

[99.52] | [85.59] | [102.22] | [29.18] | [27.88] | [55.56] | ----- | |||||

VXGOG | 0.81 *** | 0.83 *** | 0.78 *** | 0.41 *** | 0.85 *** | 0.86 *** | 0.77 *** | 1.00 | |||

[56.07] | [61.17] | [51.75] | [18.80] | [67.45] | [68.91] | [49.67] | ----- | ||||

VXIBM | 0.86 *** | 0.86 *** | 0.84 *** | 0.43 *** | 0.61 *** | 0.80 *** | 0.89 *** | 0.80 *** | 1.00 | ||

[70.39] | [70.00] | [62.95] | [19.82] | [32.07] | [54.84] | [81.31] | [54.73] | ----- | |||

Panel C: Rate of Change in Volatility across Weekdays. | |||||||||||

Mon(${\alpha}_{2}$) | TUE(${\alpha}_{3}$) | WED(${\alpha}_{4}$) | THU(${\alpha}_{4}$) | FRI(${\alpha}_{6}$) | H_{0}: α_{2}= α_{3}= α_{4}= α_{5}= α_{6} | H_{0}: α_{2}= α_{6} | H_{0}: α_{2}=α_{3}= α_{4}= α_{5} | ||||

VXAZN | 2.228 a | 0.619 c | 0.419 | 0.839 b | −2.549 a | 26.54 a | 9.87 a | 5.65 a | |||

(6.39) | (1.85) | (1.25) | (2.49) | (−7.59) | |||||||

VXAPL | 1.264 a | −0.245 | −1.255 a | 0.335 | 0.146 | 7.36 a | 2.33 b | 9.76 a | |||

(3.65) | (−0.74) | (−3.79) | (1.01) | (0.44) | |||||||

VXGSCLS | 1.243 a | −0.149 | −0.133 | −0.026 | −0.888 a | 6.45 a | 4.99 a | 4.93 a | |||

(4.04) | (−0.51) | (−0.45) | (−0.09) | (−2.99) | |||||||

VXGOG | 2.626 a | 0.345 | 0.158 | 0.66 c | −2.167 a | 24.18 a | 9.75 a | 10.55 a | |||

(7.41) | (1.02) | (0.47) | (1.94) | (−6.35) | |||||||

VXIBM | 1.599 a | 0.262 | −0.832 b | 0.049 | −0.822 b | 7.99 a | 4.86 a | 8.14 a | |||

(4.46) | (0.76) | (−2.42) | (0.14) | (−2.38) | |||||||

VXD | 1.596 a | 0.657 | −0.644 | 0.589 | −0.527 | 5.13 a | 3.64 a | 5.03 a | |||

(3.81) | (1.63) | (−1.60) | (1.45) | (−1.30) | |||||||

VXN | 1.678 a | 0.009 | −0.243 | 0.06 | −0.571 a | 19.18 a | 8.06 a | 19.57 a | |||

(8.36) | (0.05) | (−1.26) | (0.31) | (−2.9) | |||||||

RVX | 1.944 a | 0.259 | −0.143 | −0.118 | −0.855 a | 11.85 a | 6.56 a | 10.59 a | |||

(6.32) | (0.88) | (−0.49) | (−0.39) | (−2.89) | |||||||

TYVIX | 2.039 a | 0.403 | −0.740 a | −0.214 | −1.288 a | 24.74 a | 9.16 a | 21.89 a | |||

(7.80) | (1.61) | (−2.95) | (−0.85) | (−5.10) |

## 4. Empirical Findings

Panel A: Amazon. | |||||||||
---|---|---|---|---|---|---|---|---|---|

First Friday | Second Friday | Third Friday | Fourth Friday | Fifth Friday | First Three Fridays | Last Two Fridays | Difference in the Two Periods | All Fridays | |

1.08/2011–02/2020 | |||||||||

Mean | −3.066 a | −0.913 | −1.314 a | −1.471 | −6.684 a | −1.445 a | −3.942 a | −2.549 | |

T-Statistic | (−3.13) | (−1.64) | (−2.88) | (−1.64) | (−5.06) | (−4.21) | (−4.90) | −2.497 a | (−6.25) |

Welch F-test | (−2.84) | ||||||||

Percentage negative | 68.29% | 72.00% | 64.36% | 55.45% | 60.44% | 68.18% | 57.81% | (−2.70) | 63.59% |

#Obs | 41 | 100 | 101 | 101 | 91 | 242 | 192 | 434 | |

2.08/2011–12/2015 | |||||||||

Mean | −1.704 c | −1.458 a | −0.827 | −3.096 b | −6.127 a | −1.225 a | −4.551 a | −2.730 a | |

T-Statistic | (−1.89) | (−2.92) | (−1.34) | (−2.05) | (−3.52) | (−3.38) | (−3.95) | −3.326 a | (−4.81) |

Welch F-test | (−2.89) | ||||||||

Percentage negative | 68.42% | 74.00% | 61.54% | 61.54% | 60.42% | 67.77% | 61.00% | (−2.75) | 64.71% |

#Obs | 19 | 50 | 52 | 52 | 48 | 121 | 100 | 221 | |

3.01/2016–02/2020 | |||||||||

Mean | −4.243 b | −0.367 | −1.830 a | 0.254 | −7.306 a | −1.664 a | −3.279 a | 1.943 b | |

T-Statistic | (−2.59) | (−0.37) | (−2.73) | -0.29 | (−3.60) | (−2.85) | (−2.93) | −1.615 | −2.51 |

Welch F-test | (−1.18) | ||||||||

Percentage negative | 68.18% | 70.00% | 67.35% | 48.98% | 60.47% | 68.60% | 54.35% | (−1.07) | 62.44% |

#Obs | 22 | 50 | 49 | 49 | 43 | 121 | 92 | 213 |

#### 4.1. Do Monday’s Price Changes Depend on Friday’s Price Changes?

#### 4.2. A Comparison of Monday and Other Days of the Week

#### 4.3. Potential Drivers

#### 4.3.1. Investors’ Irrationality

_{t}) into two components. The first component reflects all of the fundamental or rational economic variables (V

_{R}), while the second reflects irrational factors (V

_{IR}). In other words,

_{i,t}denotes the rate of change in the price of the underlying index for security “i.” Similar to [66], we use contemporaneous as well as lagged returns of the underlying asset price and additional lagged changes in volatility to explain the current changes in the index price. H and K are set according to the Akaike and Hannan–Quinn information criteria and range between 1 and 3. RV is the actual (ex-post) realization of return variation for each security computed using 5 min data over the next 22 days, as suggested in [67]. We validated the stationarity of the variables using the augmented Dickey–Fuller test [68].

_{d}is a dummy variable that captures the day of the week on which the return on the volatility index is observed. ${\gamma}_{d}$ captures the expected residual on Day

_{d}where d = 2, …, 6.

#### 4.3.2. Investors’ Rational Considerations

## 5. Conclusions

## Supplementary Materials

## Author Contributions

## Funding

## Institutional Review Board Statement

## Informed Consent Statement

## Conflicts of Interest

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**Figure 2.**

**EPU across weekdays.**The figure depicts the average of the Economic Uncertainty Policy (EPU) values across weekdays for 1985–2020. On Sundays and Mondays, the EPU is higher than on the rest of the weekdays. The difference between the EPU average on Mondays and Fridays is 17.02 (t-stat. = 7.92). The results are maintained when utilizing two equal subsamples: 1985–December 2002 and January 2003–February 2020.

Security/Index | Ticker Symbol | Sample Period |
---|---|---|

Amazon | VXAZN | 16 August 2011–28 February 2020 |

Apple | VXAPL | 16 August 2011–28 February 2020 |

Goldman Sachs | VXGSCLS | 6 October 2011–28 February 2020 |

VXGOG | 16 August 2011–28 February 2020 | |

IBM | VXIBM | 16 August 2011–28 February 2020 |

DOW | VXD | 2 October 2013–28 February 2020 |

NASDAQ | VXN | 10 October 2000–28 February 2020 |

Russell 2000 | RVX | 15 August 2011–28 February 2020 |

10-Year Treasury notes | TYVIX | 30 May 2013–28 February 2020 |

VXAZN(2011:08–2020:02) | VXAPL(2011:08–2020:02) | |||||

Friday | Monday | Friday | Monday | |||

Number of times the Index advanced | 156 | 261 | 198 | 243 | ||

Number of times the Index declined | 276 | 141 | 233 | 158 | ||

Number of times the Index was unchanged | 2 | 0 | 3 | 1 | ||

Total | 434 | 402 | 434 | 402 | ||

Percentage of times the Index advanced (1) (Sign Test t-stat.) | 35.94% *** (5.66) | 64.93% *** (5.99) | 45.62% * (1.54) | 60.45% *** (4.19) | ||

Percentage of times the Index declined (2) | 63.59% *** (5.66) | 35.07% *** (5.99) | 53.69% * (1.54) | 39.30%*** (4.19) | ||

Difference (2)-(1) (Sign Test t-stat.) | 27.65% *** (8.47) | 29.85% *** (8.86) | 8.06% ** (2.38) | 21.14%*** (6.13) | ||

Mean percentage change (t-stat.) | −2.55 *** (−6.25) | 2.23 *** (5.12) | 0.15 (0.46) | 1.26 *** (3.55) | ||

Median percentage change | −1.59 | 2.21 | −0.45 | 1.44 | ||

VXGSCLS(2011:10–2020:02) | VXGOG(2011:08–2020:02) | VXIBM(2011:08–2020:02) | ||||

Friday | Monday | Friday | Monday | Friday | Monday | |

Number of times the Index advanced | 154 | 235 | 158 | 272 | 183 | 255 |

Number of times the Index declined | 269 | 160 | 275 | 129 | 241 | 143 |

Number of times the Index was unchanged | 4 | 1 | 1 | 1 | 10 | 4 |

Total | 427 | 396 | 434 | 402 | 434 | 402 |

Percentage of times the Index advanced (1) (Sign Test t-stat.) | 36.07% *** (5.37) | 59.34% *** (3.72) | 36.41% *** (5.57) | 67.66% *** (7.08) | 42.17% *** (2.30) | 63.43% *** (5.39) |

Percentage of times the Index declined (2) | 63.00% *** (5.37) | 40.40% *** (3.72) | 63.36% *** (5.57) | 32.09% *** (7.08) | 55.53% *** (2.30) | 35.57% *** (5.39) |

Difference (2)-(1) (Sign Test t-stat.) | 26.93% *** (8.16) | 18.94% *** (5.42) | 26.96% *** (8.24) | 35.57% *** (10.78) | 13.36% *** (3.97) | 27.86% *** (8.22) |

Mean percentage change (t-stat.) | −0.89 *** (−2.95) | 1.24 *** (3.84) | −2.17 *** (−5.15) | 2.63 *** (6.33) | −0.82 ** (−2.37) | 1.60 *** (4.98) |

Median percentage change | −1.28 | 1.05 | −1.20 | 2.43 | −0.57 | 1.42 |

VXD(2013:10–2020:02) | VXN(2000:10–2020:02) | RVX(2011:08–2020:02) | ||||

Friday | Monday | Friday | Monday | Friday | Monday | |

Number of times the Index advanced | 126 | 174 | 363 | 536 | 170 | 242 |

Number of times the Index declined | 196 | 128 | 600 | 366 | 260 | 159 |

Number of times the Index was unchanged | 1 | 0 | 6 | 5 | 4 | 2 |

Total | 323 | 302 | 969 | 907 | 434 | 403 |

Percentage of times the Index advanced (1) (Sign Test t-stat.) | 39.01% *** (3.84) | 57.62% *** (2.65) | 37.46% *** (7.42) | 59.10% *** (5.48) | 39.17% *** (4.13) | 60.05% *** (4.04) |

Percentage of times the Index declined (2) | 60.68% *** (3.84) | 42.38% *** (2.65) | 61.92% *** (7.42) | 40.35% *** (2.65) | 59.91% *** (4.13) | 39.45% *** (4.04) |

Difference (2)-(1) (Sign Test t-stat.) | 21.67% *** (3.04) | 15.23% *** (2.25) | 24.46% *** (11.09) | 18.74% *** (8.12) | 20.74% *** (6.24) | 20.60% *** (5.98) |

Mean percentage change (t-stat.) | −0.53 (−1.25) | 1.60 *** (3.52) | −0.57 *** (−2.92) | 1.68 *** (7.50) | −0.85 *** (−2.91) | 1.94 *** (5.06) |

Median percentage change | −1.51 | 1.13 | −1.30 | 1.34 | −1.25 | 1.32 |

TYVIX(2013:05–2020:02) | ||||||

Friday | Monday | |||||

Number of times the Index advanced | 119 | 224 | ||||

Number of times the Index declined | 219 | 88 | ||||

Number of times the Index was unchanged | 4 | 7 | ||||

Total | 342 | 319 | ||||

Percentage of times the Index advanced (1) (Sign Test t-stat.) | 34.80% *** (5.19) | 70.22% *** (7.22) | ||||

Percentage of times the Index declined (2) | 64.04% *** (5.19) | 27.59% *** (7.22) | ||||

Difference (2)-(1) (Sign Test t-stat.) | 29.24% *** (7.99) | 42.63% *** (11.89) | ||||

Mean percentage change (t-stat.) | −1.29 *** (−4.40) | 2.04 *** (7.90) | ||||

Median percentage change | −1.65 | 1.86 |

VXAZN(2011:08–2020:02) | VXAPL(2011:08–2020:02) | VXIBM(2011:08–2020:02) | ||||

Friday | Monday | Friday | Monday | Friday | Monday | |

Number of times the Index advanced | 118 | 208 | 149 | 207 | 143 | 213 |

Number of times the Index declined | 213 | 102 | 181 | 102 | 181 | 94 |

Number of times the Index was unchanged | 2 | 0 | 3 | 1 | 9 | 3 |

Total | 333 | 310 | 333 | 310 | 333 | 310 |

Percentage of times the Index advanced (1) (Sign Test t-stat.) | 35.44% *** (5.09) | 67.10% *** (6.20) | 44.74% * (1.59) | 66.77% *** (5.91) | 42.94% * (1.59) | 68.71% *** (6.59) |

Percentage of times the Index declined (2) | 63.96% | 32.90% | 54.35% | 32.90% | 54.35% | 30.32% |

Difference (2)–(1) (Sign Test t-stat.) | 28.53% *** (7.67) | 34.19% *** (9.05) | 9.61% ** (2.49) | 33.87% *** (8.95) | 11.41% *** (2.96) | 38.39% *** (10.34) |

Mean percentage change (t-stat.) | −3.17 *** (−6.11) | 2.10 (4.11) | −0.11 (−0.31) | 1.74 *** (4.29) | −0.06 (−0.19) | 2.19 *** (6.11) |

Median percentage change | −1.62 | 2.82 | −0.59 | 2.22 | −0.45 | 2.18 |

VXGSCLS(2011:10–2020:02) | VXGOG(2011:08–2020:02) | TYVIX(2013:05–2020:02) | ||||

Friday | Monday | Friday | Monday | Friday | Monday | |

Number of times the Index advanced | 149 | 207 | 123 | 216 | 92 | 174 |

Number of times the Index declined | 181 | 102 | 209 | 93 | 169 | 67 |

Number of times the Index was unchanged | 3 | 1 | 1 | 1 | 2 | 5 |

Total | 333 | 310 | 333 | 310 | 263 | 246 |

Percentage of times the Index advanced (1) (Sign Test t-stat.) | 44.74% * (1.59) | 66.77% *** (5.91) | 36.94% *** (4.66) | 69.68% *** (6.93) | 34.98% *** (4.63) | 70.73% *** (6.50) |

Percentage of times the Index declined (2) | 54.35% | 32.90% | 62.76% | 30.00% | 64.26% | 27.24% |

Difference (2)–(1) (Sign Test t-stat.) | 9.61% ** (2.49) | 33.87% *** (9.06) | 25.83% *** (6.89) | 39.68% *** (10.75) | 29.28% *** (7.01) | 43.50% *** (10.70) |

Mean percentage change (t-stat.) | −0.11 (−0.31) | 1.74 *** (4.29) | −1.75 *** (−3.95) | 2.39 *** (5.62) | −1.38 *** (−4.16) | 2.15 *** (7.35) |

Median percentage change | −0.59 | 2.22 | −0.94 | 2.61 | −1.61 | 1.88 |

VXD(2013:10–2020:02) | VXN(2000:10–2020:02) | RVX(2011:08–2020:02) | ||||

Friday | Monday | Friday | Monday | Friday | Monday | |

Number of times the Index advanced | 100 | 133 | 287 | 433 | 136 | 186 |

Number of times the Index declined | 148 | 100 | 452 | 264 | 194 | 124 |

Number of times the Index was unchanged | 1 | 0 | 4 | 4 | 3 | 1 |

Total | 249 | 233 | 743 | 701 | 333 | 311 |

Percentage of times the Index advanced (1) (Sign Test t-stat.) | 40.16% *** (2.98) | 57.08% ** (2.16) | 38.63% *** (5.91) | 61.77% *** (6.23) | 40.84% *** (3.01) | 59.81% *** (3.46) |

Percentage of times the Index declined (2) | 59.44% | 42.92% | 60.83% | 37.66% | 58.26% | 39.87% |

Difference (2)–(1) (Sign Test t-stat.) | 19.28% *** (2.68) | 14.16% *** (2.05) | 22.21% *** (8.77) | 24.11% *** (9.29) | 17.42% *** (4.56) | 19.94% *** (5.07) |

Mean percentage change (t-stat.) | −0.38 (−0.79) | 1.78 *** (3.46) | −0.40 * (−1.79) | 2.02 *** (8.03) | −0.53 (−1.57) | 1.94 *** (4.33) |

Median percentage change | −1.50 | 1.14 | −1.09 | 1.63 | −1.15 | 1.03 |

Panel A: Amazon. | |||||||||
---|---|---|---|---|---|---|---|---|---|

First Monday | Second Monday | Third Monday | Fourth Monday | Fifth Monday | First Three Mondays | Last Two Mondays | Difference in the Two Periods | All Mondays | |

1.08/2011–02/2020 | |||||||||

Mean | 3.520 a | 3.208 a | −0.939 | 2.713 a | 3.626 a | 1.529 b | 3.144 a | 1.614 c | 2.228 a |

T-Statistic | (3.52) | (5.71) | (−0.72) | (3.26) | (4.68) | (2.43) | (5.50) | (1.84) | (5.12) |

Welch F-test | (3.61) | ||||||||

Percentage positive | 75.00% | 78.35% | 53.68% | 57.61% | 65.85% | 67.54% | 61.49% | 64.93% | |

#Obs | 36 | 97 | 95 | 92 | 82 | 228 | 174 | 402 | |

2.08/2011−12/2015 | |||||||||

Mean | 4.343 a | 2.353 a | 0.826 | 2.206 c | 4.098 a | 2.039 a | 3.089 a | 1.05 | 2.493 a |

T-Statistic | (5.37) | (4.61) | (0.82) | (1.96) | (4.19) | (4.09) | (4.09) | (1.20) | (5.76) |

Welch F-test | (1.34) | ||||||||

Percentage positive | 84.21% | 76.00% | 55.10% | 56.25% | 76.19% | 68.64% | 65.56% | 67.31% | |

#Obs | 19 | 50 | 49 | 48 | 42 | 118 | 90 | 208 | |

3.01/2016–02/2020 | |||||||||

Mean | 2.6 | 4.117 a | −2.819 | 3.267 b | 3.131 b | 0.982 | 3.202 a | 2.22 | 1.943 b |

T-Statistic | (1.35) | (4.06) | (−1.15) | (2.62) | (2.57) | (0.83) | (3.69) | (1.43) | (2.51) |

Welch F-test | (2.28) | ||||||||

Percentage positive | 64.71% | 80.85% | 52.17% | 59.09% | 55.00% | 66.36% | 57.14% | 62.37% | |

#Obs | 17 | 47 | 46 | 44 | 40 | 110 | 84 | 194 |

Performance of the Index on Monday | VXAZN | VXAPL | |||||

After an Advance on Friday | After a Decline on Friday | After an Advance on Friday | After a Decline on Friday | ||||

Number of times the Index advanced | 97 | 152 | 103 | 126 | |||

Number of times the Index declined | 47 | 94 | 79 | 79 | |||

Number of times the Index was unchanged | 0 | 0 | 1 | 0 | |||

Total | 144 | 246 | 183 | 205 | |||

Percentage of times the Index advanced (t-stat.) | 67.36% *** (4.17) | 61.79% *** (3.69) | 56.28% ** (1.70) | 61.46% *** (3.28) | |||

Percentage of times the Index declined (t-stat.) | 32.64% *** (4.17) | 38.21% *** (3.69) | 43.17% ** (1.70) | 38.54% *** (3.28) | |||

Difference (2)–(1) (t-stat.) | 34.72% *** (5.98) | 23.58% *** (5.07) | 13.11% ** (2.43) | 22.93% *** (4.49) | |||

Mean percentage change (t-stat.) | 3.00 *** (3.85) | 1.39 *** (2.59) | 1.02 * (1.74) | 1.06 ** (2.23) | |||

Median percentage change | 2.66 | 1.91 | 1.33 | 1.31 | |||

Performance of the Index on Monday | VXGSCLS | VXGOG | VXIBM | ||||

After an Advance on Friday | After a Decline on Friday | After an Advance on Friday | After a Decline on Friday | After an Advance on Friday | After a Decline on Friday | ||

Number of times the Index advanced | 72 | 149 | 90 | 170 | 99 | 143 | |

Number of times the Index declined | 69 | 90 | 51 | 78 | 64 | 75 | |

Number of times the Index was unchanged | 1 | 0 | 0 | 1 | 1 | 0 | |

Total | 142 | 239 | 141 | 249 | 164 | 218 | |

Percentage of times the Index advanced (t-stat.) | 50.70% (0.17) | 62.34% *** (3.82) | 63.83% *** (3.28) | 68.27% *** (5.77) | 60.37% *** (2.66) | 65.60% *** (4.61) | |

Percentage of times the Index declined (t-stat.) | 48.59% | 37.66% | 36.17% *** (3.28) | 31.33% *** (5.77) | 39.02% *** (2.66) | 34.40% *** (4.61) | |

Difference (2)–(1) (t-stat.) | 2.11% (0.34) | 24.69% *** (5.24) | 27.66% *** (4.54) | 36.95% *** (8.37) | 21.34% *** (3.74) | 31.19% *** (6.48) | |

Mean percentage change (t-stat.) | 0.47 (0.67) | 1.40 *** (3.87) | 2.39 *** (3.58) | 2.64 *** (4.81) | 1.52 *** (2.77) | 1.49 *** (3.67) | |

Median percentage change | 0.33 | 1.27 | 2.66 | 2.29 | 1.22 | 1.56 | |

Performance of the Index on Monday | VXD | VXN | RVX | ||||

After an Advance on Friday | After a Decline on Friday | After an Advance on Friday | After a Decline on Friday | After an Advance on Friday | After a Decline on Friday | ||

Number of times the Index advanced | 56 | 108 | 186 | 323 | 85 | 147 | |

Number of times the Index declined | 58 | 67 | 144 | 212 | 70 | 84 | |

Number of times the Index was unchanged | 0 | 0 | 1 | 4 | 1 | 0 | |

Total | 114 | 175 | 331 | 539 | 156 | 231 | |

Percentage of times the Index advanced (t-stat.) | 49.12% (0.43) | 61.71% *** (3.10) | 56.19% ** (2.25) | 59.93% *** (4.61) | 54.49% (1.12) | 63.64% *** (4.15) | |

Percentage of times the Index declined | 50.88% (0.38) | 38.29% *** (3.00) | 43.50% | 39.33% | 44.87% | 36.36% | |

Difference (2)–(1) (t-stat.) | 1.75% (0.47) | 23.43% *** (2.66) | 12.69% *** (3.15) | 20.59% *** (6.56) | 9.62% (1.63) | 27.27% *** (5.74) | |

Mean percentage change (t-stat.) | 1.39 (1.56) | 1.47 *** (2.94) | 1.94 *** (4.32) | 1.30 *** (5.24) | 2.17 *** (2.74) | 1.52 *** (3.80) | |

Median percentage change | −0.09 | 1.26 | 0.96 | 1.17 | 0.46 | 1.60 | |

Performance of the Index on Monday | TYVIX | ||||||

After an Advance on Friday | After a Decline on Friday | ||||||

Number of times the Index advanced | 68 | 146 | |||||

Number of times the Index declined | 38 | 47 | |||||

Number of times the Index was unchanged | 2 | 4 | |||||

Total | 108 | 197 | |||||

Percentage of times the Index advanced (t-stat.) | 62.96% *** (2.69) | 74.11% *** (6.77) | |||||

Percentage of times the Index declined | 35.19% | 23.86% | |||||

Difference (2)–(1) (t-stat.) | 27.78% *** (4.04) | 50.25% *** (10.92) | |||||

Mean percentage change (t-stat.) | 1.67 *** (3.27) | 2.27 *** (7.48) | |||||

Median percentage change | 1.48 | 1.97 |

**Table 8.**A Comparison of changes in the VIX on Monday and on other days of the week contingent on the direction of change the previous day.

Percentage of Times theIndex Advanced | VXAZN | VXAPL | ||||

On Monday | On OtherDays | On Monday | On OtherDays | |||

After an Advance the previous day (t-stat.) | 67.36% *** (4.17) | 47.52% (1.14) | 56.28% ** (1.70) | 47.61% (1.19) | ||

After a decline the previous day (t-stat.) | 61.79% *** (3.69) | 48.66% (0.39) | 61.46% *** (3.28) | 54.33% *** (2.57) | ||

Mean Percentage Change | ||||||

After an Advance the previous day (t-stat.) | 3.00 *** (3.85) | −0.38 * (−1.82) | 1.02 * (1.74) | −0.35 (−1.43) | ||

After a decline the previous day (t-stat.) | 1.39 *** (2.59) | 0.10 (0.41) | 1.06 ** (2.23) | −0.16 (−0.72) | ||

Percentage of Times the Index Advanced | VXGSCLS | VXGOG | VXIBM | |||

On Monday | On Other Days | On Monday | On Other Days | On Monday | On Other Days | |

After an Advance the previous day (t-stat.) | 50.70% (0.17) | 43.82% *** (3.36) | 63.83% *** (3.28) | 48.75% (0.45) | 60.37% *** (2.66) | 48.42% (0.56) |

After a decline the previous day (t-stat.) | 62.34% *** (3.82) | 56.46% *** (3.82) | 68.27% *** (3.58) | 52.52% (1.40) | 65.60% *** (4.61) | 51.07% (0.60) |

Mean Percentage Change | ||||||

After an Advance the previous day (t-stat.) | 0.47 (0.67) | −0.44 ** (−2.09) | 2.39 *** (3.58) | −0.31 (−1.54) | 1.52 *** (2.77) | −0.57 ** (−2.14) |

After a decline the previous day (t-stat.) | 1.40 *** (3.87) | −0.16 (−0.79) | 2.64 *** (4.81) | −0.18 (−0.67) | 1.49 *** (3.67) | −0.09 (−0.38) |

Percentage of Times theIndex Advanced | VXD | VXN | RVX | |||

On Monday | On OtherDays | On Monday | On Other Days | On Monday | On OtherDays | |

After an Advance the previous day (t-stat.) | 49.12% (0.43) | 45.09% *** (2.47) | 56.19% *** (2.25) | 43.19% *** (5.56) | 54.49% (1.12) | 42.51% *** (3.99) |

After a decline the previous day (t-stat.) | 61.71% *** (3.10) | 43.63% *** (3.29) | 59.93% *** (4.61) | 42.45% *** (6.27) | 63.64% *** (4.15) | 46.28% ** (1.73) |

Mean Percentage Change | ||||||

After an Advance the previous day (t-stat.) | 1.39 (1.56) | −0.16 (−0.57) | 1.94 *** (4.32) | −0.25 * (−1.90) | 2.17 *** (2.74) | −0.48 ** (−2.45) |

After a decline the previous day (t-stat.) | 1.47 *** (2.94) | 00.19 (0.61) | 1.30 *** (5.24) | −0.11 (0.83) | 1.52 *** (3.80) | 0.01 (0.07) |

Percentage of Times the Index Advanced | TYVIX | |||||

On Monday | On Other Days | |||||

After an Advance the previous day (t-stat.) | 62.96% *** (2.69) | 43.40% ** (2.25) | ||||

After a decline the previous day (t-stat.) | 74.11% *** (6.77) | 40.18% *** (3.92) | ||||

Mean Percentage Change | ||||||

After an Advance the previous day (t-stat.) | 1.67 *** (3.27) | −0.38 ** (−2.03) | ||||

After a decline the previous day (t-stat.) | 2.27 *** (7.48) | −0.57 *** (−3.21) |

Monday | Tuesday | Wednesday | Thursday | Friday | Saturday | Sunday | |
---|---|---|---|---|---|---|---|

Mean | 6.011 *** | 6.009 *** | 6.010 *** | 6.015 *** | 6.031 *** | 6.034 *** | 6.024 *** |

Med. | 6.010 | 6.010 | 6.010 | 6.010 | 6.030 | 6.030 | 6.020 |

Max. | 6.250 | 6.210 | 6.250 | 6.360 | 6.340 | 6.290 | 6.260 |

Min. | 5.770 | 5.880 | 5.870 | 5.890 | 5.780 | 5.870 | 5.840 |

Stdev. | 0.043 | 0.042 | 0.044 | 0.050 | 0.049 | 0.046 | 0.049 |

Skew. | −0.039 | 0.309 | 0.841 | 1.556 | 0.545 | 0.247 | 0.352 |

Kurt. | 5.289 | 3.783 | 6.434 | 9.794 | 7.947 | 4.292 | 4.628 |

#Obs | 598 | 599 | 599 | 599 | 599 | 596 | 598 |

MON ${\mathit{\gamma}}_{2}$ | TUE ${\mathit{\gamma}}_{3}$ | WED ${\mathit{\gamma}}_{4}$ | THU ${\mathit{\gamma}}_{5}$ | FRI ${\mathit{\gamma}}_{6}$ | ${\mathit{\gamma}}_{2}={\mathit{\gamma}}_{3}={\mathit{\gamma}}_{4}={\mathit{\gamma}}_{5}={\mathit{\gamma}}_{6}$ | ${\mathit{\gamma}}_{2}={\mathit{\gamma}}_{6}$ | ${\mathit{\gamma}}_{3}={\mathit{\gamma}}_{4}={\mathit{\gamma}}_{5}={\mathit{\gamma}}_{6}$ | |
---|---|---|---|---|---|---|---|---|

VXAZN | 1.93 a | 0.34 | 0.21 | 0.45 | −2.81 a | 26.26 a | 9.85 a | 22.23 a |

(5.58) | (1.03) | (0.63) | (1.36) | (−8.40) | ||||

VXAPL | −1.39 a | −0.24 | −1.27 a | 0.17 | 0.07 | 8.27 a | 2.81 a | 4.11 a |

(4.10) | (−0.75) | (−3.92) | (0.52) | (0.21) | ||||

VXGSCLS | 1.29 a | −0.12 | −0.04 | −0.06 | −0.988 a | 7.36 a | 5.38 a | 2.44 c |

(4.24) | (−0.41) | (−0.13) | (−0.20) | (−3.35) | ||||

VXGOG | 2.36 a | 0.12 | −0.02 | 0.26 | −2.57 a | 26.48 a | 10.22 a | 16.29 a |

(6.81) | (0.36) | (−0.05) | (0.79) | (−7.67) | ||||

VXIBM | 1.55 a | 0.27 | −0.81 b | 0.01 | −0.90 a | 7.97 a | 4.94 a | 2.90 b |

(4.34) | (0.78) | (−2.37) | (0.03) | (−2.61) | ||||

VXD | −0.14 | 0.73 c | 0.77 b | −1.05 a | −0.34 | 3.86 a | 0.37 | 5.09 a |

(−0,34) | (1.87) | (1.98) | (−2.67) | (−0.88) | ||||

VXN | 1.50 a | −0.13 | −0.36 c | −0.14 | −0.77 a | 19.39 a | 8.21 a | 2.47 c |

(7.55) | (−0.67) | (−1.89) | (−0.71) | (−4.01) | ||||

RVX | 1.75 a | 0.08 | −0.23 | −0.38 | −1.11 a | 12.55 a | 6.79 a | 3.00 b |

(5.78) | (0.29) | (−0.77) | (−1.30) | (−3.79) | ||||

TYVIX | 2.03 a (7.83) | 0.47 c (1.89) | −0.69 a (−2.77) | −0.20 (−0.80) | −1.49 a (−5.91) | 27.03 a | 9.73 a | 10.86 a |

Panel A. Full Sample. | |||||||
---|---|---|---|---|---|---|---|

Monday | Tuesday | Wednesday | Thursday | Friday | Saturday | Sunday | |

Mean | 109.36 *** | 100.65 *** | 94.37 *** | 88.53 *** | 92.34 *** | 90.74 *** | 132.49 *** |

Med. | 92.74 | 83.69 | 76.74 | 71.27 | 75.88 | 74.25 | 118.11 |

Max. | 623.45 | 719.07 | 690.81 | 515.61 | 560.12 | 586.55 | 496.43 |

Min. | 5.80 | 5.93 | 3.38 | 4.75 | 3.32 | 4.15 | 4.05 |

Stdev. | 67.65 | 69.96 | 67.18 | 62.39 | 62.16 | 64.78 | 69.97 |

Skew. | 1.81 | 2.32 | 2.22 | 1.96 | 1.78 | 2.01 | 1.29 |

Kurt. | 8.85 | 13.44 | 11.79 | 8.65 | 7.95 | 9.94 | 5.23 |

#Obs | 1834 | 1835 | 1835 | 1835 | 1835 | 1834 | 1834 |

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**MDPI and ACS Style**

Idilbi-Bayaa, Y.; Qadan, M.
Tell Me Why I Do Not Like Mondays. *Mathematics* **2022**, *10*, 1850.
https://doi.org/10.3390/math10111850

**AMA Style**

Idilbi-Bayaa Y, Qadan M.
Tell Me Why I Do Not Like Mondays. *Mathematics*. 2022; 10(11):1850.
https://doi.org/10.3390/math10111850

**Chicago/Turabian Style**

Idilbi-Bayaa, Yasmeen, and Mahmoud Qadan.
2022. "Tell Me Why I Do Not Like Mondays" *Mathematics* 10, no. 11: 1850.
https://doi.org/10.3390/math10111850