We explored relationships between daily market returns, Mondays, and the level of merger activity during 1982–1998 in a multivariate model. Once other factors (interest rates and future market directions) are accounted for, we found no statistically significant relationship between daily market returns and either Mondays or the level of merger activity. On the other hand, we did find an impact for both Mondays and the level of merger activity on market volatility, which is measured either by the absolute value of daily returns of the implied volatility or the OEX index.