Calendar anomalies in cash and stock index futures: International evidence
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Moller, Nicholas & Zilca, Shlomo, 2008. "The evolution of the January effect," Journal of Banking & Finance, Elsevier, vol. 32(3), pages 447-457, March.
- Cornell, Bradford, 1985. " The Weekly Pattern in Stock Returns: Cash versus Futures: A Note," Journal of Finance, American Finance Association, vol. 40(2), pages 583-588, June.
- Brian Lucey & Shane Whelan, 2004. "Monthly and semi-annual seasonality in the Irish equity market 1934-2000," Applied Financial Economics, Taylor & Francis Journals, vol. 14(3), pages 203-208.
- Betty Agnani & Henry Aray, 2011.
"The January effect across volatility regimes,"
Taylor & Francis Journals, vol. 11(6), pages 947-953.
- Bety Agnany & Henry Aray, 2007. "The January Effect across Volatility Regimes," ThE Papers 07/04, Department of Economic Theory and Economic History of the University of Granada..
- Bing Zhang & Xindan Li, 2006. "Do Calendar Effects Still Exist in the Chinese Stock Markets?," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 4(2), pages 151-163.
- M. Berument & Nukhet Dogan, 2012. "Stock market return and volatility: day-of-the-week effect," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(2), pages 282-302, April.
- Charles, Amélie, 2010. "The day-of-the-week effects on the volatility: The role of the asymmetry," European Journal of Operational Research, Elsevier, vol. 202(1), pages 143-152, April.
- Amélie Charles, 2010. "The day-of-the week effects on the volatility: The role of the asymmetry," Post-Print hal-00771136, HAL.
- Christos Floros, 2008. "Stock market returns and the temperature effect: new evidence from Europe," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(6), pages 461-467.
- 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.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
- Andrew Worthington, 2010. "The decline of calendar seasonality in the Australian stock exchange, 1958–2005," Annals of Finance, Springer, vol. 6(3), pages 421-433, July.
- Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012. "Futures basis, inventory and commodity price volatility: An empirical analysis," Economic Modelling, Elsevier, vol. 29(6), pages 2651-2663.
- Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012. "Futures basis, inventory and commodity price volatility: An empirical analysis," MPRA Paper 39903, University Library of Munich, Germany.
- Fabozzi, Frank J & Ma, Christopher K & Briley, James E, 1994. " Holiday Trading in Futures Markets," Journal of Finance, American Finance Association, vol. 49(1), pages 307-324, March.
- Juan Rendon & William Ziemba, 2007. "Is the January effect still alive in the futures markets?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(3), pages 381-396, September.
- Gultekin, Mustafa N. & Gultekin, N. Bulent, 1983. "Stock market seasonality : International Evidence," Journal of Financial Economics, Elsevier, vol. 12(4), pages 469-481, December. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:eee:ecmode:v:37:y:2014:i:c:p:216-223. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.