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Rev Fin 1993; 6:155-189
© 1993 the Society for Financial Studies

Article

Return autocorrelations around nontrading days

H Bessembinderz and MG Hertzel
College of Business, Arizona State University, Tempe, AZ 85287-9454, USA
z Corresponding author

Abstract

We document a pattern in the serial dependence of security returns around nontrading days. ne correlation of returns the second day after a week-end or holiday with returns first day after is unusually low, and in many return series is negative, implying a reversal of price movements. We also document unusually large positive return autocorrelations the last day before and the first day after weekends and holidays. The pattern has existed in equity returns for over 100 years, and also exists in several futures markets, implying that the pattern is robust to alternative market microstructures.


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