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The Weekly Pattern in Stock Returns: Cash versus Futures: A Note
Author(s) -
CORNELL BRADFORD
Publication year - 1985
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1985.tb04975.x
Subject(s) - futures contract , cash , financial economics , futures market , stock (firearms) , economics , stock market , business , finance , geography , context (archaeology) , archaeology
This paper presents tests designed to determine whether the weekly pattern in stock returns continues after the introduction of futures trading on stock indexes and whether the pattern carries over to the futures market. Using data for the SP500, I find that the “Monday effect” does persist in the cash market, but there is no evidence of a similar pattern in the futures market.