Further Evidence on Calendar Anomalies

European Financial Management, Forthcoming, 2021

33 Pages Posted: 16 Mar 2021

See all articles by Yuan-Teng Hsu

Yuan-Teng Hsu

Shanghai Business School

Kees Koedijk

TIAS School of Business and Society, Tilburg University

Hung-Chun Liu

Chung Yuan Christian University - Department of Finance

Jying-Nan Wang

College of Management, Yuan Ze University

Date Written: May 6, 2019

Abstract

This study aims to investigate the day-of-the-week (DoW) effect of cross-market leveraged exchange-traded funds (LETFs) in the Taiwanese stock market. We find that Wednesday’s overnight returns are significantly positive for bull 2X LETFs tracking major stock indices of the Chinese market, whereas no such an effect is found for ETFs tracking local or other international stock markets. The “T+1” trading rule and a lagged Monday effect potentially explain this anomaly. Finally, simulation analysis of various simple trading rules further shows that there exist exploitable profit opportunities in cross-market bull 2X LETF markets.

Keywords: Cross-market ETF; leveraged ETF; LETF; day-of-the-week effect; “T+1” trading rule

JEL Classification: C14; C22; G14; G15

Suggested Citation

Hsu, Yuan-Teng and Koedijk, Kees and Liu, Hung-Chun and Wang, Jying-Nan, Further Evidence on Calendar Anomalies (May 6, 2019). European Financial Management, Forthcoming, 2021, Available at SSRN: https://ssrn.com/abstract=3773919

Yuan-Teng Hsu

Shanghai Business School ( email )

Shanghai
China

Kees Koedijk (Contact Author)

TIAS School of Business and Society, Tilburg University ( email )

P.O. Box 90153
Tilburg, DC Noord-Brabant 5000 LE
Netherlands

Hung-Chun Liu

Chung Yuan Christian University - Department of Finance ( email )

200 Chung Pei Rd
Chung Li City, 32023
Taiwan

Jying-Nan Wang

College of Management, Yuan Ze University ( email )

135, Far-East Rd., Chung-Li
Taoyuan, ROC
Taiwan

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