Further evidence on calendar anomalies

Yuan-Teng Hsu; Kees Koedijk; Hung-Chun Liu; Jying-Nan Wang

doi:10.1111/eufm.12301

Further evidence on calendar anomalies

Yuan-Teng Hsu, Kees Koedijk^*, Hung-Chun Liu, Jying-Nan Wang

^*Corresponding author for this work

Research output: Contribution to journal › Article › Academic › peer-review

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.

Original language	English
Pages (from-to)	545-566
Journal	European Financial Management
Volume	28
Issue number	2
DOIs	https://doi.org/10.1111/eufm.12301
Publication status	Published - Mar 2022

Keywords

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

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10.1111/eufm.12301Licence: CC BY-NC

Euro Fin Management - 2021 - Hsu - Further evidence on calendar anomaliesFinal published version, 1.69 MBLicence: CC BY-NC

Cite this

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title = "Further evidence on calendar anomalies",

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",

author = "Yuan-Teng Hsu and Kees Koedijk and Hung-Chun Liu and Jying-Nan Wang",

year = "2022",

month = mar,

doi = "10.1111/eufm.12301",

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AU - Hsu, Yuan-Teng

AU - Koedijk, Kees

AU - Liu, Hung-Chun

AU - Wang, Jying-Nan

PY - 2022/3

Y1 - 2022/3

N2 - 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.

AB - 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.

KW - “T+1”trading rule

KW - cross-market ETF

KW - day-of-the-week effect

KW - LETF

KW - leveraged ETF

U2 - 10.1111/eufm.12301

DO - 10.1111/eufm.12301

M3 - Article

SN - 1354-7798

VL - 28

SP - 545

EP - 566

JO - European Financial Management

JF - European Financial Management

IS - 2

ER -

Further evidence on calendar anomalies

Abstract

Keywords

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