SEASONAL VARIATIONS IN TREASURY NOTES YIELDS

Adam Lai and California Lan Liu

The International Journal of Business and Finance Research, 2022, vol. 16, issue 1, 47-58

Abstract: We study seasonalities in the yields of Treasury notes (T-Notes) with fixed maturities of two, three, five, seven and ten years. We find that although there are a number of anecdotal patterns, only one passes the more rigorous statistical tests, which is the half-year high (March to August) versus half-year low (September to February) yield measured in terms of their ranks in a year. The results across T-Notes of different maturities also exhibit a striking resemblance. Further analysis on the yield spread of the 10- Year and 2-Year T-Notes shows that although their nominal yield differences have been similar in recent economic cycles, the percentage values of the differences have been increasing quickly especially since the 2010s due to the low levels of short-term Treasury yields.

Keywords: Seasonality; Treasury Yield; Yield Spread; Asset Pricing (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v16n1-2022/IJBFR-V16N1-2022-4.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ibf:ijbfre:v:16:y:2022:i:1:p:47-58

Access Statistics for this article

The International Journal of Business and Finance Research is currently edited by Terrance Jalbert

More articles in The International Journal of Business and Finance Research from The Institute for Business and Finance Research
Bibliographic data for series maintained by Mercedes Jalbert ( this e-mail address is bad, please contact ).