The Weekly Pattern in Stock Returns: Cash versus Futures: A Note
检验股票指数期货推出后，股票现金市场的周内收益模式是否持续，以及该模式是否传导至期货市场。基于标普500数据，发现“周一效应”在现金市场仍存在，但期货市场无类似模式。
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.