Calendar Anomalies in Stock Index Futures

24 Pages Posted: 13 Nov 2011

See all articles by Oscar Carchano

Oscar Carchano

University of Valencia - Department of Financial Economics

Ángel Pardo Tornero

University of Valencia - Department of Financial Economics

Date Written: November 12, 2011

Abstract

There exist a large and increasing number of papers that describe different calendar anomalies in stock markets. Although empirical evidence suggests that seasonal effects disappeared after the early 1990s, new studies and approaches assert the continuation of some anomalies in stock indexes. In this paper, we present a comprehensive study of 188 possible cyclical anomalies in S&P 500, DAX and Nikkei stock index futures contracts from 1991 to 2008. Frictions in futures markets, unlike spot markets frictions, make it feasible to produce economically significant profits from trading rules based on calendar effects. By applying a percentile-t-bootstrap and Monte Carlo methods, our analysis reveals that the turn-of-the-month effect in S&P 500 futures contracts is the only calendar effect that is statistically and economically significant and persistent over time.

Keywords: calendar effect, stock index futures, simulation method

JEL Classification: C15, G10

Suggested Citation

Carchano, Oscar and Pardo Tornero, Ángel, Calendar Anomalies in Stock Index Futures (November 12, 2011). Available at SSRN: https://ssrn.com/abstract=1958587 or http://dx.doi.org/10.2139/ssrn.1958587

Oscar Carchano (Contact Author)

University of Valencia - Department of Financial Economics ( email )

Avda. de los Naranjos s/n
Valencia, Valencia E-46022
Spain

Ángel Pardo Tornero

University of Valencia - Department of Financial Economics ( email )

Avda. del Tarongers, s/n
46022 Valencia
Spain

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