New findings regarding return autocorrelation anomalies and the importance of non-trading periods
Mostra el registre complet Registre parcial de l'ítem
- dc.contributor.author Garcia Blandón, Josepca
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2017-07-26T10:50:06Z
- dc.date.available 2017-07-26T10:50:06Z
- dc.date.issued 2001-11-01
- dc.date.modified 2017-07-23T02:06:32Z
- dc.description.abstract 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.
- dc.format.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=585
- dc.identifier.uri http://hdl.handle.net/10230/1140
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 585
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword return autocorrelation
- dc.subject.keyword stock market anomalies
- dc.subject.keyword non-trading periods
- dc.subject.keyword Finance and Accounting
- dc.title New findings regarding return autocorrelation anomalies and the importance of non-trading periodsca
- dc.type info:eu-repo/semantics/workingPaper