Return autocorrelations around nontrading days |
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Authors: | Bessembinder H; Hertzel MG |
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Institution: | College of Business, Arizona State University, Tempe, AZ 85287-9454, USA
z Corresponding author |
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Abstract: | We document a pattern in the serial dependence of security returnsaround nontrading days. ne correlation of returns the secondday after a week-end or holiday with returns first day afteris unusually low, and in many return series is negative, implyinga reversal of price movements. We also document unusually largepositive return autocorrelations the last day before and thefirst day after weekends and holidays. The pattern has existedin equity returns for over 100 years, and also exists in severalfutures markets, implying that the pattern is robust to alternativemarket microstructures. |
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