In this paper, differences in return autocorrelation across weekdays have
been investigated. Our research provides strong evidence of the importance
on non-trading periods, not only weekends and holidays but also overnight
closings, to explain return autocorrelation anomalies. While stock returns
are highly autocorrelated, specially on Mondays, when daily returns are
computed on a open-to-close basis, they do not exhibit any significant
level of autocorrelation. Our results are compatible with the
information ...
In this paper, differences in return autocorrelation across weekdays have
been investigated. Our research provides strong evidence of the importance
on non-trading periods, not only weekends and holidays but also overnight
closings, to explain return autocorrelation anomalies. While stock returns
are highly autocorrelated, specially on Mondays, when daily returns are
computed on a open-to-close basis, they do not exhibit any significant
level of autocorrelation. Our results are compatible with the
information processing hypotheses as an explanation of the weekend
effect.
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