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Currency futures and the turn-of-month effect

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  • Liano, Kartono
  • Kelly, G. Wayne

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  • Liano, Kartono & Kelly, G. Wayne, 1995. "Currency futures and the turn-of-month effect," Global Finance Journal, Elsevier, vol. 6(1), pages 1-7.
    • Handle: RePEc:eee:glofin:v:6:y:1995:i:1:p:1-7
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    References listed on IDEAS

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    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Josef Lakonishok, Seymour Smidt, 1988. "Are Seasonal Anomalies Real? A Ninety-Year Perspective," The Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 403-425.
    3. Jaffe, Jeffrey & Westerfield, Randolph, 1989. "Is there a monthly effect in stock market returns? : Evidence from foreign countries," Journal of Banking & Finance, Elsevier, vol. 13(2), pages 237-244, May.
    4. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
    5. Johnston, Elizabeth Tashijan & Kracaw, William A. & McConnell, John J., 1991. "Day-of-the-Week Effects in Financial Futures: An Analysis of GNMA, T-Bond, T-Note, and T-Bill Contracts," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(1), pages 23-44, March.
    6. Cavanaugh, Kenneth L., 1987. "Price dynamics in foreign currency futures markets," Journal of International Money and Finance, Elsevier, vol. 6(3), pages 295-314, September.
    7. Ogden, Joseph P, 1990. "Turn-of-Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects," Journal of Finance, American Finance Association, vol. 45(4), pages 1259-1272, September.
    8. Jordan, Susan D. & Jordan, Bradford D., 1991. "Seasonality in Daily Bond Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(2), pages 269-285, June.
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    Cited by:

    1. Kumar, Satish, 2016. "Revisiting calendar anomalies: Three decades of multicurrency evidence," Journal of Economics and Business, Elsevier, vol. 86(C), pages 16-32.

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