The Journal of Finance

Spot and Futures Prices and the Law of One Price

Published: 12/01/1983   |   DOI: 10.1111/j.1540-6261.1983.tb03833.x

ARIS PROTOPAPADAKIS, HANS R. STOLL

The law of one price (LOP) is tested for narrowly defined commodities traded in futures markets in different countries during the period 1973–80. Although the LOP holds as an average tendency for most of the commodities, there are instances of large riskless arbitrage returns (before transactions costs). Deviations from the LOP tend to be commodity specific rather than due to a common external factor and they tend to be smaller the longer the maturity of the futures contract.

From T‐Bills to Common Stocks: Investigating the Generality of Intra‐Week Return Seasonality

Published: 06/01/1988   |   DOI: 10.1111/j.1540-6261.1988.tb03948.x

MARK J. FLANNERY, ARIS A. PROTOPAPADAKIS

The authors investigate the extent to which intra‐week seasonality still exists and whether its pattern is uniform across three stock indices and Treasury bonds with seven different maturities. They find that intra‐week seasonality continues to be significant and that its pattern is not uniform, either between the stock indices and the Treasury bonds or even among the bonds alone. A pattern shared by stocks and bonds is that Monday returns become increasingly negative with maturity. These findings suggest that neither institutional nor general‐equilibriumex planations by themselves can explain the pattern of intra‐week seasonality in securities markets.

DISCUSSION

Published: 05/01/1977   |   DOI: 10.1111/j.1540-6261.1977.tb03292.x

W. Bradford Cornell, Duncan M. Ripley, Aris Protopapadakis