We re-examine the day-of-the-week effect for eleven indexes from nine countries during the 1969–1992 period. The standard methodology as well as the moving average methodology are used and we find returns to be lower at the beginning of the week (but not necessarily on Monday) for the full period. As in Chang et al. (International evidence on the robustness of the day-of-the-week effect, Journal of Financial and Quantitative Analysis 28 (1993), 497–514), the anomaly disappears for the most recent period in the USA. However, the effect is still strong for European countries, Hong-Kong and Toronto.