Stock price patterns

Brian J. Jacobsen

Applied Financial Economics Letters, 2007, vol. 3, issue 5, 301-306

Abstract: Stock price anomalies have been studied in detail; however, most studies use daily closing prices or volume-weighted average prices for identifying day-of-the week and holiday effects. In this article, I extend the day-of-the week and holiday analysis to intraday and interday trading. The results show there are definite advantages to buying a stock at the close of business and then selling at the open of the next trading day, provided that next trading day is also the next calendar day. The worst risk-return trade-off is when you buy at the close and sell at the open when there is an extended weekend. In terms of the average daily return to standard deviation ratio, the close–open strategy has the highest ratio. This strategy also has the highest positive skewness and kurtosis of the daily return distribution.

Date: 2007
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/17446540701222375 (text/html)
Access to full text is restricted to subscribers.

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:taf:raflxx:v:3:y:2007:i:5:p:301-306

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rafl20

DOI: 10.1080/17446540701222375

Access Statistics for this article

Applied Financial Economics Letters is currently edited by Anita Phillips

More articles in Applied Financial Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().