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In financial econometrics research, it is very common to investigate relationships between financial time series that take the form of daily data. The variable will often be made $I(0)$ by taking the log difference, for example; $\ln(P_t)-\ln(P_{t-1})$.

However, daily data means that there's $5$ data points each week, and Saturday and Sunday are missing. This seems to get no mention in the applied literature that I'm aware of. Here's some closely related questions that I have that come from this observation:

  • Does this qualify as irregularly spaced data, even though financial markets are closed over the weekend?

  • If so, what are the consequences for the validity of extant empirical results garnered thus far in the gigantic number of papers that ignore this issue?

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Regarding your first question, this problem is sometimes called weekend effect. In my opinion, the answer is context-dependent. For instance, this question makes a lot of sense in the case of stock returns. See for instance here, here, here and here. But I am not sure if this effect applies to other contexts. – user10525 Dec 15 '12 at 15:52
@Procrastinator Submit answer it's very good!! – Jase Dec 15 '12 at 16:19

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