We study the twist-of-the-Monday effect in the Brazilian stock market and provide evidence that it is due to index construction problems, such as the non-synchronous trading of stocks. The effect is present for indices but absent for most individual stocks and in the most recent sub-periods of the 1986-98 period. When present, it was due to negative weekend returns while Monday intraday returns were significantly positive. When absent, Monday returns remain positively correlated with the previous week return although Monday returns are no longer significantly negative. Monday trading strategies based on the previous week return were profitable in and out of the sample.Indisponível.