Stock price patterns
AbstractStock price anomalies have been studied in detail; however, most studies use daily closing prices or volume-weighted average prices for identifying day-of-the week and holiday effects. In this article, I extend the day-of-the week and holiday analysis to intraday and interday trading. The results show there are definite advantages to buying a stock at the close of business and then selling at the open of the next trading day, provided that next trading day is also the next calendar day. The worst risk-return trade-off is when you buy at the close and sell at the open when there is an extended weekend. In terms of the average daily return to standard deviation ratio, the close-open strategy has the highest ratio. This strategy also has the highest positive skewness and kurtosis of the daily return distribution.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 3 (2007)
Issue (Month): 5 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAFL20
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.