政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/6084

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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/6084

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/6084

Title:	Trading Returns for the Weekend Effect Using Intraday Data
Authors:	周行一 Chow, Edward H.;Hsiao, Ping;Solt, Michael E.
Keywords:	weekend effect;intraday observations;trading strategies;transactions costs;risk and return
Date:	1997
Issue Date:	2008-11-05 16:51:23 (UTC+8)
Abstract:	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
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1111/1468-5957.00113
DOI:	10.1111/1468-5957.00113
Appears in Collections:	[財務管理學系] 期刊論文

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