| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5069648 | Finance Research Letters | 2016 | 4 Pages |
Abstract
There is large variation in the leverage effect on each weekday. In the past 15 years, the average difference between the impact of negative and positive stock return innovations on future volatility in the S&P 500 Index is 45% on Monday, 14% on Tuesday, 60% on Wednesday, 6% on Thursday, and 28% on Friday. This variation is not predicted by any prevailing hypothesis on why there is a leverage effect.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Geoffrey Peter Smith,