Q Is the Weekend Effect Exploitable? http://www.businessperspectives.org/files/library/HsaioSolt_WeekendEffect.pdf UQ
Q http://www.bos.frb.org/economic/wp/wp1998/wp98_6.pdf Weekends Can Be Rough: Revisiting the Weekend Effect in Stock Prices Working Paper 98-6 by Peter Fortune Revised article published in the New England Economic Review (September/October 1999). The performance of stock prices during breaks in trading has received considerable attention in recent years. While some studies focus on performance surrounding periods of unscheduled trading breaks (trading halts in individual stocks, circuit breakers for exchanges), other studies look at performance around periods of scheduled trading breaks (holidays, weekends). This paper fits into the second group. We revisit the "weekend effect" in common stock returns. Our focus is on two characteristics of differential returns over intraweek trading days and over weekends: the mean return, or "drift," and the standard deviation of returns, or "volatility." We find that in the last 18 years the volatility over weekends has been stable, at about 10-20 percent greater for the three days from Friday's close to Monday's close than for a single intraweek trading day. However, while there was a large and statistically significant negative return over weekends prior to 1987, the post-1987 results indicate no weekend drift. In short, the negative weekend drift appears to have disappeared although weekends continue to have low volatility. UQ
Q https://www.xe.com/fx/clir/ Reduced Limits on Weekends Please be advised that due to reduced trading in the currency markets on weekends, there may be restrictions on trading limits from Friday 9:00 pm GMT to Sunday 10:00 pm GMT. During this time, you may receive an error message stating you cannot trade a requested amount, even if it is within your trade limit. If this occurs, please try a smaller amount or book your trade after the weekend. UQ
Q http://ideas.repec.org/a/fip/fedbne/y1999isepp3-19.html Are stock returns different over weekends? a jump diffusion analysis of the "weekend effect" Peter Fortune Abstract The distribution of returns on common stocks is, arguably, one of the most widely studied financial market characteristics. The performance of stock prices during breaks in trading has received considerable attention in recent years, especially since the advent of "circuit breakers" designed to create stability when markets are chaotic. This study examines the distribution of daily returns on five popular stock price indices, with a special emphasis on the difference between returns over weekends and returns over adjacent intraweek trading days. The author revisits the "weekend effect" in common stock returns, focusing on two characteristics of differential returns over intraweek trading days and over weekends: the "drift" and the "volatility." He finds that the volatility of stock returns over weekends is much smaller than could be predicted from intraweek volatility. This is true of stock returns over weekends both before and after October 1987. He also finds that the difference between intraweek drift and weekend drift is smaller after October 1987 than before. Indeed, it disappears for large companies, suggesting that the poor performance of common stocks over weekends in the 1980s was a financial anomaly that was mitigated over time, as investors incorporated it into the timing of their transactions. The sharp decrease in volatility over weekends is consistent with the view that active trading actually increases volatility, so that a close in trading will be consistent with a reduction in volatility. However, a weekend is a scheduled event, which might simply reduce the rate of new information flow, while a sudden halt in trading might eliminate all information flow from price discovery, creating an environment that elicits the volatility it is designed to mitigate. UQ
Q http://mdicorps.com/res/forex/fx_trading_basic/ But the main risk is really an event over the weekend, where all markets are closed. This happens from time to time as many important political events, such as G7 meetings, are normally scheduled for weekends. UQ
Q Should I ignore weekend data while studying FX charts? http://www.elitetrader.com/vb/showthread.php?s=&threadid=41123&highlight=weekend* If you are looking at a chart from a source that shows price movement throughout the weekend then definitely ignore this price action. This shows some retail forex traders trading with each other. If you are referring to gap openings on Sunday (Monday morning in Asia starting with New Zealand) then there is no reason to ignore it, although it will have less importance if you day trade and are flat over the weekend. UQ
Q http://www2.oanda.com/cgi-bin/msgboard/ultimatebb.cgi?ubb=get_topic;f=15;t=000490#000000 About prices over weekend FAQs says,"OANDA is the only Internet-based platform currently accepting trades over the weekend." How are the prices are determined over the weekend? Suppose I put an order, who am I trading with? OANDA? Thanks for your time. UQ
Why should we consider trading on weekends? Q http://www2.oanda.com/cgi-bin/msgboard/ultimatebb.cgi?ubb=get_topic;f=15;t=001828#000000 Michael Stumm OANDANIAN Weekend trading? Actually, there are some forex trading desks open over the weekend, but they tend to be in the middle east. None of the larger banks who have trading desks in Europe, the U.S., and in Asia (that combined probably cover over 80% of the spot volume traded) support trading over the weekend. Hence, the liquidity is simply not there. BTW, you can trade forex over the weekend, namely on FXTrade. It's just that the rates are mostly flat and the spreads wide (due to the lack of liquidity). However, we do believe that it is just a matter of time before forex will be traded 24/7. Expect to start seeing rates on FXTrade to be a bit more dynamic over the weekends pretty soon... UQ
Trading in the weekends is opening oneself up to more bucket shop tricks. Just take a look at the close this last friday with the e-mini - Euro-USD and the full sized EUR-USD contracts and the squeeze that happened in the e-mini just before the close. There was a spike of around - 70 pips at around 1544 that never happened in the full sized contracts. Maria