An active area of investigation in finance literature is to explore the existence of a pattern in stock returns. A predictable pattern is evidence against market efficiency. Even if the pattern does not seem to affect the stock returns directly, it can provide useful clues to investors concerning their investment decision. One of the significant patterns identified is the day of the week effect which implies that stock returns are not distributed identically across the days. For example, in the U.S. capital market, rates of return on Mondays tend to be negative while those on Fridays tend to be high. Cross (1973), French (1980), Gibbons and Hess (1981), Keim and Stambagh (1984) and others consistently observed lowest returns on Mondays, termed as the ‘Monday effect’.