Further evidence on calendar anomalies

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

doi:10.1111/eufm.12301

Further evidence on calendar anomalies

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

^*Corresponding author for this work

Ethics, Governance and Society

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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 - 2022

Bibliographical note

Publisher Copyright:
© 2021 The Authors. European Financial Management published by John Wiley & Sons Ltd.

Copyright:
Copyright 2021 Elsevier B.V., All rights reserved.

Keywords

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

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10.1111/eufm.12301

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

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AU - Hsu, Yuan Teng

AU - Koedijk, Kees G.

AU - Liu, Hung Chun

AU - Wang, Jying Nan

PY - 2022

Y1 - 2022

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 - cross-market ETF

KW - day-of-the-week effect

KW - LETF

KW - leveraged ETF

KW - “T + 1” trading rule

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JO - European Financial Management

JF - European Financial Management

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Further evidence on calendar anomalies

Abstract

Bibliographical note

Keywords

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