RETURN AUTOCORRELATIONS AROUND NONTRADING DAYS

• 成果类型: Article
• 署名作者: BESSEMBINDER, H; HERTZEL, MG
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/6.1.155
• 发表日期: 1993
• 页码: 155
• 关键词: consistent covariance-matrix; stock returns; heteroskedasticity; volume

摘要

We document a pattern in the serial dependence of security returns around nontrading days. The correlation of return the second day after a weekend or holiday with returns the first day after is unusually low, and in many return series is negative, implying a reversal of price movements. We also document unusually large positive return autocorrelations the last day before and the first day after weekends and holidays. The pattern has existed in equity returns for over 100 years, and also exists in several futures markets, implying that the pattern is robust to alternative market micro-structures.