Day-of-The-Week Autocorrelations, Cross-Autocorrelations, and the Weekend Phenomon
Posted: 16 Nov 1999
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.
JEL Classification: G12, G14
Suggested Citation: Suggested Citation