Open AccessCorporate Bond Returns And Weekday Seasonality
Author(s) -
Bahram Adrangi,
Farrokh Ghazanfari
Publication year - 2011
Publication title -
journal of applied business research
Language(s) - English
Resource type - Journals
eISSN - 2157-8834
pISSN - 0892-7626
DOI - 10.19030/jabr.v13i1.5768
Subject(s) - corporate bond , bond , weekend effect , seasonality , econometrics , economics , financial economics , sample (material) , business , monetary economics , mathematics , statistics , finance , medicine , emergency medicine , chemistry , chromatography
This study examines trading day and calendar day returns-generating processes and tests the weekend effect in the corporate bond market. We reject the calendar day hypothesis while the trading day hypothesis cannot be rejected as the corporate bonds returns-generating process. Furthermore, we find a reverse weekend effect in the corporate bond market in that Monday returns are on-average positive and statistically significant in this sample.