Skip to main content
Article thumbnail
Location of Repository

New findings regarding return autocorrelation anomalies and the importance of non-trading periods

By Josep Garcia Blandón


In this paper, differences in return autocorrelation across weekdays have been investigated. Our research provides strong evidence of the importance on non-trading periods, not only weekends and holidays but also overnight closings, to explain return autocorrelation anomalies. While stock returns are highly autocorrelated, specially on Mondays, when daily returns are computed on a open-to-close basis, they do not exhibit any significant level of autocorrelation. Our results are compatible with the information processing hypotheses as an explanation of the weekend effect.Return autocorrelation, stock market anomalies, non-trading periods

OAI identifier:

Suggested articles


  1. (1984). A further investigation of the weekend effect in stock returns,
  2. (1990). A theory of the interday variations in volume, variance and trading costs in security markets,
  3. (1979). An analysis of brokerage house security recommendations,
  4. (1988). Are seasonal anomalies real? A ninety-year perspective,
  5. (1989). Divide and conquer: A theory of intraday and day-of-the-week mean effects,
  6. (1986). Event study methodologies and the size effect: The case of UK press recommendation,
  7. (1984). New findings regarding day-of-the-week returns over trading and non-trading periods: A note,
  8. (2001). New findings regarding the investigation of the Spanish stock market seasonalities: A note. UPF Working Paper Series.
  9. (1985). Portfolio serial correlation and nonsynchronous trading,
  10. (1993). Return autocorrelations around nontrading days.
  11. (1973). The behavior of stock prices on Fridays and Mondays,
  12. (1994). The individual investor and the weekend effect.
  13. (1985). The week-end effect in common stock returns: The international evidence,
  14. (1990). The weekend effect: Trading patterns of individual and institutional investors,
  15. (1993). Trading volume and serial correlation in stock returns,

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.