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Weekend and day of the week effects in returns on stock index futures · Study

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ArticleWeekend and day of the week effects in returns on stock index futures

Joan C. Junkus1986

Article1986

Weekend and day of the week effects in returns on stock index futures

41 citations·0/0 files stored·Journal of Futures Markets

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1976The pricing of commodity contracts 2015Proof that Properly Anticipated Prices Fluctuate Randomly 1980Stock returns and the weekend effect 1981Day of the Week Effects and Asset Returns 1984A Further Investigation of the Weekend Effect in Stock Returns 1973The Behavior of Stock Prices on Fridays and Mondays 1984Orange Juice and Weather 1973Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums

Cited by

2005The Value of USDA Situation and Outlook Information in Hog and Cattle Markets 1989Index and Index-Futures Returns 2008The decline of calendar seasonality in the Australian stock exchange, 1958–2005 1994Daily futures price changes and non-linear dynamics 2011A brief history and recent developments in day‐of‐the‐week effect literature 1990International trading/nontrading time effects on risk estimation in futures markets

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2004Are Calendar Anomalies Still Alive?: Evidence from Istanbul Stock Exchangepreprint · 9 shared references 1987An investigation into seasonality in the futures marketarticle · 8 shared references 1986A further investigation of the day‐of‐the‐week effect in the gold marketarticle · 8 shared references 1986The daily distribution of changes in the price of stock index futuresarticle · 8 shared references 2019Risky short positions and investor sentiment: Evidence from the weekend effect in futures marketsarticle · 8 shared references 1995On the Presence of a Day-of-the-Week Effect in the Foreign Exchange Marketarticle · 8 shared references

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Year1986

Typearticle

Published1986-09-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations41

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1002/fut.3990060305

openalex_workW2102990604

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1992

Risk‐Adjusted Day‐of‐the‐Week, Day‐of‐the‐Month, and Month‐of‐the‐Year Effects on Stock Indexes and Stock Index Futures