On The Day Of The Week Effect: An Examination Of Intraday Prices For The S&P 500 Futures Contract

Abstract

Research into the day of the week effect focuses on systematic price movements from close to close in the cash market and from settle to settle in the futures markets.  This research investigates the day of the week effect using a variety of intraday data in determining price movements.  The following results demonstrate that the conclusions from day of the week effect research predicate on the measurement interval and may, therefore, be spurious.