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Weekday variations in short‐term contrarian profits in futures markets

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  • J.Barry Lin
  • Joseph I. Onochie
  • Avner S. Wolf

Abstract

This article documents and examines weekday patterns in short‐term contrarian profits in futures markets. The Lo and Mackinlay (1990) methodology is used to construct contrarian portfolios and to compute daily contrarian profits. Contrarian portfolios are formed using daily closing prices and are based on the previous day's performance relative to a benchmark. Contrarian profits are measured over subsequent half‐day intervals. The empirical results suggest that there are weekday patterns in short‐term contrarian profits in futures markets. On average, contrarian profits are largest on Fridays, followed by those on Wednesdays, and smallest on Mondays. For currency futures, however, contrarian profits are largest on Mondays and smallest on Fridays.

Suggested Citation

  • J.Barry Lin & Joseph I. Onochie & Avner S. Wolf, 1999. "Weekday variations in short‐term contrarian profits in futures markets," Review of Financial Economics, John Wiley & Sons, vol. 8(2), pages 139-148, September.
    • Handle: RePEc:wly:revfec:v:8:y:1999:i:2:p:139-148
    DOI: 10.1016/S1058-3300(99)00009-9
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