Day-of-The-Week Autocorrelations, Cross-Autocorrelations, and the Weekend Phenomon

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

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Year of publication:	[1999]
Authors:	Higgins, Eric James
Other Persons:	Peterson, David R. (contributor)
Publisher:	[1999]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: The Financial Review, Vol. 34, No. 4, November 1999 Volltext nicht verfügbar
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012789550