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Day-of-the-Week Autocorrelations, Cross-Autocorrelations, and the Weekend Phenomenon.

This study examines whether autocorrelations or cross-autocorrelations are more closely associated with the weekend phenomenon. Our results show a significant day-of-the-week pattern in autocorrelations associated with the weekend phenomenon. However we find no marginal influence of a day-of-the-week pattern in cross-autocorrelations on the weekend phenomenon. Copyright 1999 by MIT Press.
Year of publication:
1999
Authors: Higgins, Eric James ; Peterson, David R
Published in:
The Financial Review. - Eastern Finance Association - EFA. - Vol. 34.1999, 4, p. 159-70
Publisher: Eastern Finance Association - EFA
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005667607
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