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New findings regarding return autocorrelation anomalies and the importance of non-trading periods
Garcia Blandón, Josep
Universitat Pompeu Fabra. Departament d'Economia i Empresa
In this paper, differences in return autocorrelation across weekdays havebeen investigated. Our research provides strong evidence of the importanceon non-trading periods, not only weekends and holidays but also overnightclosings, to explain return autocorrelation anomalies. While stock returnsare highly autocorrelated, specially on Mondays, when daily returns arecomputed on a open-to-close basis, they do not exhibit any significantlevel of autocorrelation. Our results are compatible with theinformation processing hypotheses as an explanation of the weekendeffect.
Finance and Accounting
return autocorrelation
stock market anomalies
non-trading periods
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