Risk‐Adjusted Day‐of‐the‐Week, Day‐of‐the‐Month, and Month‐of‐the‐Year Effects on Stock Indexes and Stock Index Futures

Abstract

Abstract This study uses risk‐adjusted returns based on the Sharpe Performance Measure to evaluate the presence of three anomalies in two stock index futures, the futures of a smaller firm synthetic index, and their respective underlying spot indexes. The three anomalies are the day‐of‐the‐week, the month‐of‐the‐year, and the day‐of‐the‐month effects. Using the nonparametric Kruskal‐Wallis test, we find more evidence of day‐of‐the‐week and day‐of‐the‐month effects in futures index price behavior than in their underlying spot indexes. The January effect is found to be more pronounced for spot indexes than for stock index futures contracts. It is also more pronounced in the smaller firm synthetic index. Our results tend to disagree with efficient market proponents.