A further investigation of the day-of-the-week effect in the gold market
โ Scribed by Christopher K. Ma
- Publisher
- John Wiley and Sons
- Year
- 1986
- Tongue
- English
- Weight
- 592 KB
- Volume
- 6
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
The inconsistency in sign may have been due to the mismatching in time between London afternoon fixing spot quote and U.S. Chicago afternoon closing futures quote. ZThe magnitude of the mean returns they reported were surprising. Further conversations and confirmations with Professor Maberly indicat
he existence of day-of-the-week effects in growth rates of real goods T prices has been documented. We find that, prior to 1981, almost all commodity price increments were concentrated on Friday. Moreover, similar to findings in common stock markets, the "blue Monday'' effect is confirmed in the Dow
However, several previous studies have focused on market imperfections (transactions costs, taxes) or market inefficiency 10 explain the differences between futures and forward prices. See Capozza and Cornell (1979), B n g and Rasche (1978), Burger, Lang, and Rasche (1977), and Kane (1980) for marke