Arbeitspapier
Witching Days and Abnormal Profits in the US Stock Market
This paper examines price effects related to witching days in the US stock market using both weekly and daily data for three major indices, namely the Dow Jones, SP500 and Nasdaq, over the period 2000-2021. First it analyses whether or not anomalies in price behaviour arise from witching by using various parametric (Student’s t-test, and ANOVA) and non-parametric (Mann-Whitney) tests as well as an event study method and regressions with dummies; then it investigates whether or not any detected anomalies give rise to profit opportunities by applying a trading simulation approach. The results suggest the presence of the anomaly in daily returns on witching days which can be exploited by means of suitably designed trading strategies to earn abnormal profits, especially in the case of the Nasdaq index. Such evidence is inconsistent with the Efficient Market Hypothesis (EMH).
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 9360
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Computational Techniques; Simulation Modeling
- Thema
-
witching days
abnormal returns
stock markets
anomalies
trading
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Caporale, Guglielmo Maria
Plastun, Alex
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
03.04.2156, 12:43 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Caporale, Guglielmo Maria
- Plastun, Alex
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2021
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