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Calendar anomalies in cash and stock index futures: International evidence

  • Floros, Christos
  • Salvador, Enrique

This paper examines calendar anomalies (day-of-the-week and monthly seasonal effects) in cash and stock index futures returns. We consider daily data from FTSE100 (UK), FTSE/ASE-20 (Greece), S&P500 (US) and Nasdaq100 (US) spot and future indexes over the period 2004–2011. We employ a Regime-Switching specification which allows us to distinguish between different regimes corresponding to high and low volatile periods. The results show differences in the seasonal patterns in cash and futures indexes due to the existence of basis risk. Calendar effects are also conditioned to the market situation. During a low volatile situation these calendar effects tend to be positive, but these effects turn negative if the market is under a high volatile period. These findings are recommended to financial risk managers dealing with futures markets.

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File URL: http://www.sciencedirect.com/science/article/pii/S0264999313004781
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Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 37 (2014)
Issue (Month): C ()
Pages: 216-223

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Handle: RePEc:eee:ecmode:v:37:y:2014:i:c:p:216-223
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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  12. Choudhry, Taufiq, 2001. "Month of the Year Effect and January Effect in Pre-WWI Stock Returns: Evidence from a Non-linear GARCH Model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(1), pages 1-11, January.
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