Day-of-the-Week Trading Patterns of Individual and Institutional Investors

Abstract

This study examines the day-of-the-week trading patterns of individual and institutional investors. Consistent with previous evidence, we find an increase in the proportion of trading volume accounted for by individual investors on Monday. However, we document that this increase in the fraction of trading by individual investors on Monday is a result of a reduction in trading by institutional investors, and not because of an increase in trading by individual investors. In fact, the trading by individual investors is significantly lower on Monday than on any other weekday. We also document that the degree of day-of-the-week variation in trading volume by individual and institutional investors is positively associated with the quality and dissemination of public information proxied by the market capitalization of each company.