Abstract
The return-generating process of 4 sets of Eurocurrency deposits rates is examined for day-of-the-week patterns over a 185-month interval between May 1973 and November 1988. Daily closing one-month, 2-month, and 3-month Eurocurrency deposit rates in London for the Eurodollar (Euro$), Euro Canadian dollar, Euro Pound Sterling, and Euro Swiss Franc were obtained from Data Resources Inc. The findings do not support the evidence of a unique "Monday effect" (of the type found for many financial instruments, particularly equities, in and outside of the US) for any Eurocurrency deposit rate examined. On the other hand, a pronounced weekly cyclical pattern was identified for the Euro$ series. The coefficients for the first part of the week were generally negative with Thursdays and Fridays consistently showing significant positive returns. No such patterns were found for any of the other Eurocurrencies investigated.