IDEAS home Printed from https://ideas.repec.org/a/bla/jbfnac/v24y1997i3p425-444.html
   My bibliography  Save this article

Trading Returns for the Weekend Effect Using Intraday Data

Author

Listed:
  • Edward H. Chow
  • Ping Hsiao
  • Michael E. Solt

Abstract

The existence of the weekend effect has been documented as early as 1885. This paper examines whether the serial dependence in returns around weekends and the magnitude of negative Friday returns can be used to produce superior trading returns. We find some success for this endeavor after accounting for transaction costs (including the bid/ask spread), especially when trading is confined to weekends for which there are large negative Friday returns and to positions opened on Friday afternoons. The effect of stocks trading ex‐dividend on Mondays does not appear to bias our results.

Suggested Citation

  • Edward H. Chow & Ping Hsiao & Michael E. Solt, 1997. "Trading Returns for the Weekend Effect Using Intraday Data," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(3), pages 425-444, April.
    • Handle: RePEc:bla:jbfnac:v:24:y:1997:i:3:p:425-444
    DOI: 10.1111/1468-5957.00113
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1468-5957.00113
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1468-5957.00113?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Compton, William S. & Kunkel, Robert A., 1998. "A Tax-Free Exploitation of the Turn-of-the-Month Effect: C.R.E.F," Financial Services Review, Elsevier, vol. 7(1), pages 11-23.
    2. Brian Lucey & Edel Tully, 2005. "Seasonality, Risk And Return In Daily COMEX Gold And Silver Data 1982-2002," The Institute for International Integration Studies Discussion Paper Series iiisdp057, IIIS.
    3. Charles, Amélie, 2010. "The day-of-the-week effects on the volatility: The role of the asymmetry," European Journal of Operational Research, Elsevier, vol. 202(1), pages 143-152, April.
    4. Gao, Pengjie & Hao, Jia & Kalcheva, Ivalina & Ma, Tongshu, 2015. "Short sales and the weekend effect—Evidence from a natural experiment," Journal of Financial Markets, Elsevier, vol. 26(C), pages 85-102.
    5. Kunkel, Robert A. & Compton, William S. & Beyer, Scott, 2003. "The turn-of-the-month effect still lives: the international evidence," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 207-221.
    6. Tori, Cynthia Royal, 2001. "Federal Open Market Committee meetings and stock market performance," Financial Services Review, Elsevier, vol. 10(1-4), pages 163-171.
    7. Imtiaz Mazumder, M. & Chu, Ting-Heng & Miller, Edward M. & Prather, Larry J., 2008. "International day-of-the-week effects: An empirical examination of iShares," International Review of Financial Analysis, Elsevier, vol. 17(4), pages 699-715, September.
    8. M. Imtiaz Mazumder & Edward M. Miller & Oscar A. Varela, 2010. "Market Timing the Trading of International Mutual Funds: Weekend, Weekday and Serial Correlation Strategies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(7‐8), pages 979-1007, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jbfnac:v:24:y:1997:i:3:p:425-444. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0306-686X .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.