CURRENCY FUTURES AND THE TURN-OF-MONTH EFFECT

Kartono Liano and G. Wayne Kelly

This study extends the analysis of a turn-of-month effect to futures contracts for four major currencies: British pounds, Deutsche marks, Japanese yen, and Swiss francs. Distinct turn-of-month pricing patterns appear in pound and yen futures. Specifically, the pattern displayed in pound futures is opposite that of yen futures. These effects are highly significant for pound and yen futures through 1981, diminishing afterwards. These findings suggest that profitable timing strategies in currency futures may have existed in the past but have been reduced since 1981.