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

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  • Khaksari, Shahriar
  • Bubnys, Edward L
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    Abstract

    This study uses risk-adjusted returns based on the Sharpe Performance Measure to evaluate the presence of three anomalies in two stock index futures, the futures of a smaller firm synthetic index, and their respective underlying spot indexes. The three anomalies are the day-of-the-week, the month-of-the-year, and the day-of-the-month effects. Using the nonparametric Kruskal-Wallis test, we find more evidence of day-of-the-week and day-of-the-month effects in futures index price behavior than in their underlying spot indexes. The January effect is found to be more pronounced for spot indexes than for stock index futures contracts. It is also more pronounced in the smaller firm synthetic index. Our results tend to disagree with efficient market proponents. Copyright 1992 by MIT Press.

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    Bibliographic Info

    Article provided by Eastern Finance Association in its journal The Financial Review.

    Volume (Year): 27 (1992)
    Issue (Month): 4 (November)
    Pages: 531-52

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    Handle: RePEc:bla:finrev:v:27:y:1992:i:4:p:531-52

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    Web page: http://www.easternfinance.org/
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    Cited by:
    1. Galor, Oded & Moav, Omer & Vollrath, Dietrich, 2003. "Land Inequality and the Origin of Divergence and Overtaking in the Growth Process: Theory and Evidence," CEPR Discussion Papers 3817, C.E.P.R. Discussion Papers.
    2. Peter Hansen & Asger Lunde, 2003. "Testing the Significance of Calendar Effects," Working Papers 2003-03, Brown University, Department of Economics.
    3. Kohers, Theodor & Patel, Jayen B., 1996. "An examination of the day-of-the-week effect in junk bond returns over business cycles," Review of Financial Economics, Elsevier, vol. 5(1), pages 31-46.

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