Trading Returns for the Weekend Effect Using Intraday Data

Title	Trading Returns for the Weekend Effect Using Intraday Data
Creator	周行一 Chow, Edward H. ; Hsiao, Ping ; Solt, Michael E.
Key Words	weekend effect;intraday observations;trading strategies;transactions costs;risk and return
Date	1997
Date Issued	5-Nov-2008 16:51:23 (UTC+8)
Summary	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.
Relation	Journal of Business,Finance and Accounting, 24(3-4), 425-444
Type	article
DOI	http://dx.doi.org/10.1111/1468-5957.00113

dc.creator (作者)	周行一	zh_TW
dc.creator (作者)	Chow, Edward H. ; Hsiao, Ping ; Solt, Michael E.	-
dc.date (日期)	1997	en_US
dc.date.accessioned	5-Nov-2008 16:51:23 (UTC+8)	-
dc.date.available	5-Nov-2008 16:51:23 (UTC+8)	-
dc.date.issued (上傳時間)	5-Nov-2008 16:51:23 (UTC+8)	-
dc.identifier.uri (URI)	https://nccur.lib.nccu.edu.tw/handle/140.119/6084	-
dc.description.abstract (摘要)	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.	-
dc.format	application/	en_US
dc.language	en	en_US
dc.language	en-US	en_US
dc.language.iso	en_US	-
dc.relation (關聯)	Journal of Business,Finance and Accounting, 24(3-4), 425-444	en_US
dc.subject (關鍵詞)	weekend effect;intraday observations;trading strategies;transactions costs;risk and return	-
dc.title (題名)	Trading Returns for the Weekend Effect Using Intraday Data	en_US
dc.type (資料類型)	article	en
dc.identifier.doi (DOI)	10.1111/1468-5957.00113	en_US
dc.doi.uri (DOI)	http://dx.doi.org/10.1111/1468-5957.00113	en_US