New findings regarding return autocorrelation anomalies and the importance of non-trading periods

Josep Garcia Blandón

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

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.

Keywords: Return autocorrelation; stock market anomalies; non-trading periods (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2001-11
New Economics Papers: this item is included in nep-fmk
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