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Conditional Heteroskedasticity And The Weekend Effect In S&P 500 Index Futures

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  • Mohammad Najand
  • Kenneth Yung

Abstract

Conflicting results have been reported regarding the existence of a weekend effect in S&P 500 index futures. Given the numerous evidence in recent research that asset returns are affected by conditional heteroskedasticity and have fat‐tailed distributions, this paper re‐examines the existence of a weekend effect in S&P 500 index futures by using a GARCH model. The results generated by the new methodology support the conclusion of Cornell (1985) that there is no weekend effect in S&P 500 index futures.

Suggested Citation

  • Mohammad Najand & Kenneth Yung, 1994. "Conditional Heteroskedasticity And The Weekend Effect In S&P 500 Index Futures," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 21(4), pages 603-612, June.
    • Handle: RePEc:bla:jbfnac:v:21:y:1994:i:4:p:603-612
    DOI: 10.1111/j.1468-5957.1994.tb00339.x
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    References listed on IDEAS

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