Year: 2019
Type: article
Abstract: The month of March has been the worst month for the U.S. bond market. Mean March return is the lowest among the twelve months’ and March experienced the lowest frequency of positive returns from 1987 through 2015. Returns of March are significantly negatively related to returns of all the other eleven months, to yields of 10-year U.S. Treasury bond, and to March returns of U.S. equity market. They are significantly positively related to annual returns of the U.S. bond market. There is a weak January effect in the U.S. bond market.
Source: Accounting and Finance Research
DOI: 10.5430/afr.v8n1p193
Author: Anthony Yanxiang Gu
Institutions: State University of New York, SUNY Geneseo
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W2913757697