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Stock price patterns


  • Brian J. Jacobsen


Stock 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.

Suggested Citation

  • Brian J. Jacobsen, 2007. "Stock price patterns," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(5), pages 301-306.
  • Handle: RePEc:taf:apfelt:v:3:y:2007:i:5:p:301-306
    DOI: 10.1080/17446540701222375

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