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Day-of-the-week effects in federal funds rates: Further empirical findings

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  • Griffiths, Mark D.
  • Winters, Drew B.
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-3YB56R0-J/2/5a9bfe5fff5edc6689b74db3b53ade47
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 19 (1995)
    Issue (Month): 7 (October)
    Pages: 1265-1284

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    Handle: RePEc:eee:jbfina:v:19:y:1995:i:7:p:1265-1284

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    Web page: http://www.elsevier.com/locate/jbf

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    1. Spindt, Paul A. & Hoffmeister, J. Ronald, 1988. "The Micromechanics of the Federal Funds Market: Implications for Day-of-the-Week Effects in Funds Rate Variability," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(04), pages 401-416, December.
    2. Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January.
    3. Vickson, R. G., 1985. "Simple Optimal Policy for Cash Management: The Average Balance Requirement Case," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(03), pages 353-369, September.
    4. Saunders, Anthony & Urich, Thomas, 1988. "The effects of shifts in monetary policy and reserve accounting regimes on bank reserve management behavior in the federal funds market," Journal of Banking & Finance, Elsevier, vol. 12(4), pages 523-535, December.
    5. Ho, Thomas S Y & Saunders, Anthony, 1985. " A Micro Model of the Federal Funds Market," Journal of Finance, American Finance Association, vol. 40(3), pages 977-88, July.
    6. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, vol. 54(4), pages 579-96, October.
    7. Lakonishok, Josef & Smidt, Seymour, 1984. "Volume and turn-of-the-year behavior," Journal of Financial Economics, Elsevier, vol. 13(3), pages 435-455, September.
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