Below are links to pages that summarize trading behavior via the days of the week.

The data was gathered from February of 1993 to January of 2005.  Some of the results above may differ from what you've seen published elsewhere...most likely, that's because of the relatively short time period examined.  

Several caveats should be thrown out before summarizing the results in these tables.  As usual, bid/ask spreads and commissions are not considered in the analysis...an important omission, admittedly, but necessary because of a lack of opening/closing bid/ask historical data.  Looking at the Monday link, you'll see that a high "high-close" differential in the previous (Friday) session tends to predict gains in a stock on Monday.  However, to the extent that that such a large differential is connected to a large bid/ask spread in the next session, the usefulness of such a trading strategy is reduced.

We've included "day_of_month" and "yesterday's_market" as predictors in the tables below.  For technical reasons, our program will exaggerate the statistical significance of any results where these two indicators are involved.  Looking at the bottommost table on the page that breaks down Monday's history, you see that if the Monday falls in the last 20% of the days of a the month (the 25th through the 31st), it tends to gain an annualized 69%.  The 69% figure is correct, but one should not estimate that this result is about 2 standard deviation units off the mean because of the figure given in "Market Focus5".

Note that we're not making grand statements about differences in trading patterns between, say, Tuesday and Wednesday.  We've simply gathered loads of data (about 30,000 lines) for each day of the week, analyzed it, and reported on it.  As much as we'd like to say that we've discovered amazingly different patterns for each day of the week, the opposite seems more the case.

Having said the above, if we were pressed to speak in terms of differences, we'd offer the following:

1)  Clearly, Monday and Tuesday have been weaker than the other days of the week.

2)  Friday seems a bit less dependent on market momentum than other days of the week.  In other words, it's more likely to reverse the previous day's momentum.

3)  Bottom-fishing on Monday is not a potent strategy, whereas it appears prominently elsewhere.

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