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

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  • Josep Garcia Blandón

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.

Suggested Citation

  • Josep Garcia Blandón, 2001. "New findings regarding return autocorrelation anomalies and the importance of non-trading periods," Economics Working Papers 585, Department of Economics and Business, Universitat Pompeu Fabra.
    • Handle: RePEc:upf:upfgen:585
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    More about this item

    Keywords

    Return autocorrelation; stock market anomalies; non-trading periods;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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