Can a Myth Move Markets? Blue Monday and Investor Behavior in the UK Equity Market

Abstract

This paper examines whether the publicization of the “Blue Monday” concept—the claim that the third Monday of January is the most depressing day of the year—has influenced financial market behavior. Using daily price and trading volume data for the FTSE 100 index from January 1999 to January 2026, we test whether this psychologically salient calendar event affects stock returns or investor participation. We apply parametric and non-parametric tests to compare outcomes across trading days, Mondays, and Blue Mondays, and assess whether market behavior changed after the widespread diffusion of the Blue Monday narrative in 2005. We find no evidence of a Blue Monday effect on returns: returns on Mondays and Blue Mondays are statistically indistinguishable from those on other trading days. However, we identify a strong and robust effect on trading activity. Mondays are associated with significantly lower trading volume, with the largest declines occurring on Blue Mondays. Crucially, this pattern emerges only after 2005, suggesting that investor behavior responds to the media-driven construction of Blue Monday rather than to economic fundamentals. Overall, the results indicate that sentiment-based narratives can influence market participation without inducing systematic mispricing.