Paper #585

Title:

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

Author:

Josep Garcia Blandón

Date:

November 2001

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

JEL codes:

G10

Area of Research:

Finance and Accounting

Download the paper in PDF format