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

Posted: 16 Nov 1999

See all articles by Eric James Higgins

Eric James Higgins

Kansas State University - College of Business Administration

David R. Peterson

Florida State University - Department of Finance

Abstract

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

Higgins, Eric James and Peterson, David R., Day-of-The-Week Autocorrelations, Cross-Autocorrelations, and the Weekend Phenomon. Available at SSRN: https://ssrn.com/abstract=187488

Eric James Higgins (Contact Author)

Kansas State University - College of Business Administration ( email )

117 D Calvin Hall
Manhattan, KS 66506
United States
(785)-532-3936 (Phone)

David R. Peterson

Florida State University - Department of Finance ( email )

Tallahassee, FL 32306-1042
United States
850-644-8200 (Phone)
850-644-4225 (Fax)

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