The Thursday effect of the forward premium puzzle

Liang Ding

International Review of Economics & Finance, 2012, vol. 21, issue 1, 302-318

Abstract: This paper examines the day-of-the-week effect for the forward premium puzzle. The paper finds that Thursday consistently appears to be a special day on which the deviation from the unbiasedness hypothesis is much less compared to other weekdays across currencies. In addition to Thursday, Monday is also found to be a similar special day for the Euro. The paper proposes that this Thursday effect (Monday effect for the Euro) is caused by monetary announcements released constantly on Tuesday (Thursday) by the FOMC (the European Central Bank). The paper provides extensive empirical evidence in favor of the proposed explanation.

Keywords: Forward premium puzzle; Day-of-the-week effect; Central Bank; Monetary announcements (search for similar items in EconPapers)
JEL-codes: F31 G14 G15 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:21:y:2012:i:1:p:302-318

DOI: 10.1016/j.iref.2011.08.005

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