Further evidence on calendar anomalies
研究台湾股市中跨市场杠杆ETF的星期效应，发现追踪中国主要股指的2倍做多ETF在周三隔夜回报显著为正，而追踪本地或其他国际市场的ETF则无此现象，并探讨了T+1交易规则和周一滞后效应的解释。
Abstract This study aims to investigate the day‐of‐the‐week effect of cross‐market leveraged exchange‐traded funds (LETFs) in the Taiwanese stock market. We find that Wednesday's overnight returns are significantly positive for bull 2X LETFs tracking major stock indices of the Chinese market, whereas no such an effect is found for ETFs tracking local or other international stock markets. The “ T + 1” trading rule and a lagged Monday effect potentially explain this anomaly. Finally, simulation analysis of various simple trading rules further shows that there exist exploitable profit opportunities in cross‐market bull 2X LETF markets.