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Further evidence on calendar anomalies

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Euro_Fin_Management_-_2021_-_Hsu_-_Further_evidence_on_... (1.69 MB)

Publication date

2022-03

Authors

Hsu, Yuan-Teng
Koedijk, KeesISNI 0000000047890750
Liu, Hung-Chun
Wang, Jying-Nan

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Supervisors

DOI

https://doi.org/10.1111/eufm.12301

Document Type

Article

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Utrecht University Repository
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cc_by_nc

Abstract

This study aims to investigate the day-of-the-week 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

“T+1”trading rule, cross-market ETF, day-of-the-week effect, LETF, leveraged ETF

Citation

Hsu, Y-T, Koedijk, K, Liu, H-C & Wang, J-N 2022, 'Further evidence on calendar anomalies', European Financial Management, vol. 28, no. 2, pp. 545-566. https://doi.org/10.1111/eufm.12301

URI

http://hdl.handle.net/1874/437222