The Weekly Pattern in Stock Returns: Cash versus Futures: A Note



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    • Graduate School of Management, University of California-Los Angeles. I would like to thank Sheridan Titman and an anonymous referee for helpful comments on an earlier draft of this paper. Partial funding was provided by the Center for Research in Financial Markets and Institutions at UCLA.


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.