Weekday variation in the leverage effect: A puzzle

Geoffrey Peter Smith

Finance Research Letters, 2016, vol. 17, issue C, 193-196

Abstract: There is large variation in the leverage effect on each weekday. In the past 15 years, the average difference between the impact of negative and positive stock return innovations on future volatility in the S&P 500 Index is 45% on Monday, 14% on Tuesday, 60% on Wednesday, 6% on Thursday, and 28% on Friday. This variation is not predicted by any prevailing hypothesis on why there is a leverage effect.

Keywords: Leverage effect; Volatility feedback; EGARCH (search for similar items in EconPapers)
JEL-codes: G12 G17 G19 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612316300137
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:17:y:2016:i:c:p:193-196

DOI: 10.1016/j.frl.2016.03.001

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().