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Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
CESifo Working Paper No. 4849
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
This paper provides some new empirical evidence on the weekend effect, one of the most recognized anomalies in financial markets. Two different methods are used: (i) a trading robot approach to examine whether or not there is such an anomaly giving rise to exploitable profit opportunities by replicating the actions of traders; (ii) a fractional integration technique for the estimation of the (fractional) integration parameter d. The results suggest that trading strategies aimed at exploiting the weekend effect can generate extra profits but only in a minority of cases in the gold and stock markets, whist they appear to be profitable in most cases in the FOREX. Further, the lowest orders of integration are generally found on Mondays, which can be seen as additional evidence for a weekend effect.
Schlagwörter: 
efficient market hypothesis
weekend effect
trading strategy
JEL: 
G12
C63
Dokumentart: 
Working Paper
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