The "week effect" means that the average return of the security market on Monday is much lower than the average return on any other day of the week, and is statistically significantly negative. Regarding the "day-of-week effect", many literatures have found that the Monday returns of the US, UK and Canadian stock markets are significantly negative, while the returns on Friday are significantly positive, such as Harris (1986), Keim and Stambaugh (1984), Kim (1988) and Lakonishok and Levi (1982). In the Japanese and Australian markets Jaffe and Westerfield (1985) found that the lowest daily returns occurred on Tuesdays. In European markets, Solnik and Bousquet (1990) and Barone (1990) also find that Tuesday's returns are lowest in France and Italy. For Asian emerging markets, Wong, Hui, and Cha n (1992) conducted verification and showed that the "week effect" exists in Hong Kong, Thailand, Singapore and other countries. Feng Licheng (2000) conducted an empirical study on whether there is a "weekly effect" in the Chinese stock market and found that the Chinese stock market does not have the "Monday effect" that is common in the stock markets of most industrialized countries and some other emerging stock markets. Effect", and there is a significantly positive "Friday effect" and a significantly negative "Tuesday effect". Wu Wuqing et al. (2008) pointed out that the Shanghai Composite Index return rate has an obvious Thursday effect through the analysis of time-varying beta, time-varying Treynor ratio and trading volume. Wang Cuicui (2007) used Mann-Whitney to test the pattern of intra-week effects on yields and found a significantly positive "Monday effect".

Cross (1973) and French (1980) studied S&P500 index returns and found that Fridays achieved higher average returns and Mondays lower. Gibbons (1981) and Keim (1984) found that the Dow Jones index had negative returns on Mondays. Rogalski (1984) found that all average negative returns between Friday's close and Monday's close occurred during non-trading hours, and that the average trading day return (from open to close) was consistent for all days. Other U.S. financial markets such as the futures market, Treasury bond market, and medium-term bond market show similar effects to the stock market (Cornell, 1985; Dylan Maberly, 1986). Jaffe and (1985) studied the results of four developed markets, Australia, Canada, Japan and the United Kingdom, indicating the existence of weekend effects in the countries studied. However, David J. Kim's (1998) study of the Korean and Thai markets found that there is no intra-week effect.

The two most typical explanations for the Monday effect include the calendar time hypothesis and the trading time hypothesis. Jaffe et al. (1985) tested the Tuesday effect in Australia and believed that the possible reason was the link between the U.S. DOW and the Asia-Pacific market. They found that other major countries had intra-week effects similar to those in the United States, but due to different Due to time differences, countries in the Far East may experience intra-week effects of one-day deviations.