Open AccessStrong March Phenomenon and Weak January Effect in the U.S. Bond Market
Author(s) -
Anthony Yanxiang Gu
Publication year - 2019
Publication title -
accounting and finance research
Language(s) - English
Resource type - Journals
eISSN - 1927-5994
pISSN - 1927-5986
DOI - 10.5430/afr.v8n1p193
Subject(s) - bond , bond market , equity (law) , treasury , economics , phenomenon , monetary economics , financial economics , finance , geography , political science , physics , archaeology , quantum mechanics , law
The month of March has been the worst month for the U.S. bond market. Mean March return is the lowest among the twelve months’ and March experienced the lowest frequency of positive returns from 1987 through 2015. Returns of March are significantly negatively related to returns of all the other eleven months, to yields of 10-year U.S. Treasury bond, and to March returns of U.S. equity market. They are significantly positively related to annual returns of the U.S. bond market. There is a weak January effect in the U.S. bond market.