Abstract
Several empirical studies document the existence of weekly seasonal patterns in stock returns. The presence of weekly seasonal patterns in daily returns is investigated using the S&P5OO futures, CRSP Value-Weighted, CRSP value-weighted adjusted for dividends, CRSP Equal-Weighted, a and S&P5OO cash indices. The empirical results regarding the futures market for the January 2, 1984, to December 30, 1988, period are consistent with the Efficient Market Hypothesis in that this market shows no evidence of weekly trading patterns. However, the significance of weekly seasonals in the cash markets investigated seems to depend on whether futures trading is available on the underlying indices. The inception of futures trading, which leads to enhanced efficiency in price adjustment, results in greater weak form efficiency in the underlying cash market. However, one cannot entirely rule out the potential for coincidentally since the present study relies on one event only (i.e. stock futures trading) to test whether the inception of futures has led to dwindled weekly seasonality in the cash market.