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Seasonality in Canadian treasury bond returns: An institutional explanation

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  • Athanassakos, George
  • Tian, Yisong Sam

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  • Athanassakos, George & Tian, Yisong Sam, 1998. "Seasonality in Canadian treasury bond returns: An institutional explanation," Review of Financial Economics, Elsevier, vol. 7(1), pages 65-86.
    • Handle: RePEc:eee:revfin:v:7:y:1998:i:1:p:65-86
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    1. Wilson, Jack W & Jones, Charles P, 1990. "Is There a January Effect in Corporate Bond and Paper Returns?," The Financial Review, Eastern Finance Association, vol. 25(1), pages 55-79, February.
    2. Chang, Eric C. & Pinegar, J. Michael, 1986. "Return seasonality and tax-loss selling in the market for long-term government and corporate bonds," Journal of Financial Economics, Elsevier, vol. 17(2), pages 391-415, December.
    3. Maloney, Kevin J & Rogalski, Richard J, 1989. "Call-Option Pricing and the Turn of the Year," The Journal of Business, University of Chicago Press, vol. 62(4), pages 539-552, October.
    4. Schneeweis, Thomas & Woolridge, J. Randall, 1979. "Capital Market Seasonality: The Case of Bond Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(5), pages 939-958, December.
    5. French, Dan W., 1984. "The weekend effect on the distribution of stock prices : Implications for option pricing," Journal of Financial Economics, Elsevier, vol. 13(4), pages 547-559, December.
    6. Elliott, Jan Walter & Echols, Michael E, 1976. "Market Segmentation, Speculative Behavior, and the Term Structure of Interest Rates," The Review of Economics and Statistics, MIT Press, vol. 58(1), pages 40-49, February.
    7. Barth, James R & Bennett, James T, 1975. "Seasonal Variation in Interest Rates," The Review of Economics and Statistics, MIT Press, vol. 57(1), pages 80-83, February.
    8. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    9. Echols, Michael E & Elliott, Jan Walter, 1976. "Rational Expectations in a Disequilibrium Model of the Term Structure," American Economic Review, American Economic Association, vol. 66(1), pages 28-44, March.
    10. 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.
    11. Gultekin, Mustafa N. & Gultekin, N. Bulent, 1983. "Stock market seasonality : International Evidence," Journal of Financial Economics, Elsevier, vol. 12(4), pages 469-481, December.
    12. Ogden, Joseph P., 1987. "The End of the Month as a Preferred Habitat: A Test of Operational Efficiency in the Money Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(3), pages 329-343, September.
    13. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    14. Jones, Charles P & Pearce, Douglas K & Wilson, Jack W, 1987. "Can Tax-Loss Selling Explain the January Effect? A Note," Journal of Finance, American Finance Association, vol. 42(2), pages 453-461, June.
    15. Roley, V Vance, 1981. "The Determinants of the Treasury Security Yield Curve," Journal of Finance, American Finance Association, vol. 36(5), pages 1103-1126, December.
    16. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
    17. Sharp, Keith P, 1988. "Tests of U.S. Short and Long Interest Rate Seasonality," The Review of Economics and Statistics, MIT Press, vol. 70(1), pages 177-182, February.
    18. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, vol. 54(4), pages 579-596, October.
    19. repec:bla:jfinan:v:43:y:1988:i:2:p:431-50 is not listed on IDEAS
    20. 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.
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    2. Chhabra, Damini & Gupta, Mohit, 2020. "Market efficiency and calendar anomalies in commodity futures markets: a review," Agricultural Economics Research Review, Agricultural Economics Research Association (India), vol. 33(2), December.

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