Day-of-the-Week Regularities and Their Higher Moments in the Futures Market

Aggarwal, Raj; Mehdian, Seyed M.; Perry, Mark J.
June 2003
American Business Review;Jun2003, Vol. 21 Issue 2, p47
Academic Journal
Examines day-of-the-week returns in six futures contracts covering a commodity price index, fixed income securities and small, medium and large capital stock indexes traded at the Chicago Mercantile Exchange during the 1982-97 period. Non-trading weekend effect and trading day Monday effect; Indication that there is no evidence of the traditional Monday effect in the examined derivative markets.


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