Day-of-the-Week Autocorrelations, Cross-Autocorrelations, and the Weekend Phenomenon

Eric James Higgins and David R Peterson

The Financial Review, 1999, vol. 34, issue 4, 159-70

Abstract: This study examines whether autocorrelations or cross-autocorrelations are more closely associated with the weekend phenomenon. Our results show a significant day-of-the-week pattern in autocorrelations associated with the weekend phenomenon. However we find no marginal influence of a day-of-the-week pattern in cross-autocorrelations on the weekend phenomenon. Copyright 1999 by MIT Press.

Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:bla:finrev:v:34:y:1999:i:4:p:159-70

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