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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.
15-09-2005
Finance and Accounting
return autocorrelation
stock market anomalies
non-trading periods
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