274-289

• Γραμματικός, Θεοχάρης

Day-of-the-week effects are documented in five foreign currency futures, the German mark, the Swiss franc, the British pound, the Canadian dollar, and the Japanese yen. Patterns on price volatility and traded volume are detected which are distinct from the pattern on mean returns. In particular, the overnight return from Tuesday's closing to Wednesday's opening is significantly higher than overnight returns in other weekdays while trading returns are the same over different weekdays. On the other hand, there is evidence that the trading volatility of futures prices is lower on Mondays than the other weekdays, and traded volume appears to be highest on Tuesdays and lowest on Fridays.

• Economics and Business
• Computer and information sciences

• Finance
• Statistics

Περιέχει πίνακες, σημειώσεις και βιβλιογραφία, The author alone is responsible for the opinions expressed in this paper.