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 journalArticleAcademicpeer-review


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 languageEnglish
Pages (from-to)545-566
JournalEuropean Financial Management
Issue number2
Publication statusPublished - Mar 2022


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


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