Further Evidence on Calendar Anomalies
European Financial Management, Forthcoming, 2021
33 Pages Posted: 16 Mar 2021
Date Written: May 6, 2019
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: Suggested Citation