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Exploring the weekend effect in a market for state contingent claims

Record type: Conference or Workshop Item (Paper)

This study explores the origins and strength of the weekend effect by examining a market for state contingent claims where this phenomenon has not been explored; the UK horseracing market. Conditional logit models are developed for weekend and weekday markets and prices are shown to be an inferior guide to race outcome at weekends. Evidence is provided that weekend markets are populated by a larger proportion of noise traders and that their inaccurate judgements cause the effect. It is shown that the effect is sufficiently pronounced to enable abnormal returns to be earned in weekend markets.

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Citation

Sung, M and Johnson, Johnnie (2007) Exploring the weekend effect in a market for state contingent claims At 22nd European Conference on Operational Research (EURO XXII). 08 - 11 Jul 2007.

More information

Published date: 9 July 2007
Venue - Dates: 22nd European Conference on Operational Research (EURO XXII), 2007-07-08 - 2007-07-11
Keywords: finance and banking, or in sports, forecasting

Identifiers

Local EPrints ID: 51324
URI: http://eprints.soton.ac.uk/id/eprint/51324
PURE UUID: dc85e77b-8a14-45af-81a4-b90acc967fbd

Catalogue record

Date deposited: 07 Jul 2008
Last modified: 17 Jul 2017 14:48

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