The Weekly Pattern in Stock Returns: Cash versus Futures: A Note
检验股票收益的周内模式在引入股指期货后是否持续，以及该模式是否传递到期货市场。基于标普500数据，发现现金市场仍存在“周一效应”，但期货市场没有类似模式。
ABSTRACT This paper presents tests designed to determine whether the weekly pattern in stock returns continues after the introduction of futures trading on stock indexes and whether the pattern carries over to the futures market. Using data for the SP500, I find that the “Monday effect” does persist in the cash market, but there is no evidence of a similar pattern in the futures market.