Who drives the Monday effect?

This study sheds light on the still-unknown cause of the Monday effect, by providing explicit evidence on the trading behavior of different types of investors, using complete trading data with investor type identification from three Asian stock markets. Results, consistently reinforced under different approaches, indicate that, against the prevailing view that holds individual investors' trading responsible, institutional investors' trading is associated with the Monday effect. Individuals trade against it, albeit due to their overall contrarian tendencies. Institutions' refraining from trading, particularly from buying, on Mondays emerges as a new partial explanation of the Monday effect.