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Strong March Phenomenon and Weak January Effect in the U.S. Bond Market

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  • Anthony Yanxiang Gu

Abstract

The month of March has been the worst month for the U.S. bond market. Mean March return is the lowest among the twelve months’ and March experienced the lowest frequency of positive returns from 1987 through 2015. Returns of March are significantly negatively related to returns of all the other eleven months, to yields of 10-year U.S. Treasury bond, and to March returns of U.S. equity market. They are significantly positively related to annual returns of the U.S. bond market. There is a weak January effect in the U.S. bond market.  Â

Suggested Citation

  • Anthony Yanxiang Gu, 2019. "Strong March Phenomenon and Weak January Effect in the U.S. Bond Market," Accounting and Finance Research, Sciedu Press, vol. 8(1), pages 193-193, February.
    • Handle: RePEc:jfr:afr111:v:8:y:2019:i:1:p:193
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    References listed on IDEAS

    as
    1. Ling T. He & Shao C. He, 2011. "Has the November Effect Replaced the January Effect in Stock Markets?," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 32, pages 481-486, October.
    2. Chang, Eric C. & Pinegar, J. Michael, 1989. "Seasonal Fluctuations in Industrial Production and Stock Market Seasonals," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(1), pages 59-74, March.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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