Volatility conditions and the weekend effect of long-short anomalies: Evidence from the US stock market
This study examines the relationship between market volatility conditions and the weekend effect on size and profitability anomalies in the U.S. stock market. The study uses the ICSS model to divide the sample into high- and low-volatility periods. Empirical results indicate that the weekend effect...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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AIMS Press
2023-06-01
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| Series: | Quantitative Finance and Economics |
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| Online Access: | https://www.aimspress.com/article/doi/10.3934/QFE.2023016?viewType=HTML |
| _version_ | 1797782059281809408 |
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| author | Wenhui Li Normaziah Mohd Nor Hisham M Feng Min |
| author_facet | Wenhui Li Normaziah Mohd Nor Hisham M Feng Min |
| author_sort | Wenhui Li |
| collection | DOAJ |
| description | This study examines the relationship between market volatility conditions and the weekend effect on size and profitability anomalies in the U.S. stock market. The study uses the ICSS model to divide the sample into high- and low-volatility periods. Empirical results indicate that the weekend effect of size and profitability anomalies is significant in low-volatility states and insignificant in high-volatility conditions, and it is consistent across different measures of stock market volatility and subsamples. Additionally, we identify the intra-week patterns of log returns on the VIX index as the driver of the weekend effect on profitability and size anomalies. Our study not only extends the understanding of the weekend effect of long-short anomalies but also provides new evidence on the effectiveness of volatility management in factor investing. It also has important implications for investors, who should consider improving their factor investment strategies based on our results. |
| first_indexed | 2024-03-13T00:05:43Z |
| format | Article |
| id | doaj.art-5787e10b54d84f4189f91e76501cb0b3 |
| institution | Directory Open Access Journal |
| issn | 2573-0134 |
| language | English |
| last_indexed | 2024-03-13T00:05:43Z |
| publishDate | 2023-06-01 |
| publisher | AIMS Press |
| record_format | Article |
| series | Quantitative Finance and Economics |
| spelling | doaj.art-5787e10b54d84f4189f91e76501cb0b32023-07-13T01:13:10ZengAIMS PressQuantitative Finance and Economics2573-01342023-06-017233735510.3934/QFE.2023016Volatility conditions and the weekend effect of long-short anomalies: Evidence from the US stock marketWenhui Li 0Normaziah Mohd Nor1Hisham M2Feng Min31. School of Economics and Management, University Putra Malaysia, Malaysia 2. College of Mathematics and Finance, Hunan University of Humanities, Science, and Technology, Loudi 471000, China1. School of Economics and Management, University Putra Malaysia, Malaysia1. School of Economics and Management, University Putra Malaysia, Malaysia3. Zhejiang University of Finance & Economics, Hangzhou 310018, ChinaThis study examines the relationship between market volatility conditions and the weekend effect on size and profitability anomalies in the U.S. stock market. The study uses the ICSS model to divide the sample into high- and low-volatility periods. Empirical results indicate that the weekend effect of size and profitability anomalies is significant in low-volatility states and insignificant in high-volatility conditions, and it is consistent across different measures of stock market volatility and subsamples. Additionally, we identify the intra-week patterns of log returns on the VIX index as the driver of the weekend effect on profitability and size anomalies. Our study not only extends the understanding of the weekend effect of long-short anomalies but also provides new evidence on the effectiveness of volatility management in factor investing. It also has important implications for investors, who should consider improving their factor investment strategies based on our results.https://www.aimspress.com/article/doi/10.3934/QFE.2023016?viewType=HTMLstock market volatilityweekend effectfactor investingvolatility managementicss modelvix |
| spellingShingle | Wenhui Li Normaziah Mohd Nor Hisham M Feng Min Volatility conditions and the weekend effect of long-short anomalies: Evidence from the US stock market Quantitative Finance and Economics stock market volatility weekend effect factor investing volatility management icss model vix |
| title | Volatility conditions and the weekend effect of long-short anomalies: Evidence from the US stock market |
| title_full | Volatility conditions and the weekend effect of long-short anomalies: Evidence from the US stock market |
| title_fullStr | Volatility conditions and the weekend effect of long-short anomalies: Evidence from the US stock market |
| title_full_unstemmed | Volatility conditions and the weekend effect of long-short anomalies: Evidence from the US stock market |
| title_short | Volatility conditions and the weekend effect of long-short anomalies: Evidence from the US stock market |
| title_sort | volatility conditions and the weekend effect of long short anomalies evidence from the us stock market |
| topic | stock market volatility weekend effect factor investing volatility management icss model vix |
| url | https://www.aimspress.com/article/doi/10.3934/QFE.2023016?viewType=HTML |
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