A note on the disappearance of day-of-the-week seasonals in the daily price changes of Treasury bond futures

Abstract

Day-of-the-week seasonals in the Treasury bond futures market are investigated; parametric tests based on the assumption of normality are contrasted with the more general stable family of distributions and with non-parametric tests. The sample data corroborate the non-normality of the returns-generating process in the Treasury bond futures market found previously. Non-stationarity of the returns-generating process in the sample period, 1977-91, is investigated through parameter estimation in sub-periods of the sample. The disappearance of day-of-the-week seasonals in the Treasury bond futures market documented in prior studies is corroborated by the estimation methodology based on stable distributions.