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Day-of-the-Week Patterns in Volume and Prices of Nasdaq High-Yield Bonds

The authors investigate newly available dated from the Nasdaq's Fixed income Pricing System on transaction high–yield corporate bonds. Their tests of daily patterns for sixty issues traded for all or part of the interval between October 1994 and July 1997 show that: 1) the level of trading is consistently higher on Tuesday through Thursday than on either Monday or Friday, and 2) bond prices tend to significantly rise on Tuesday and decline on Friday. They interpret these results as supporting this rule of timing transactions: Investors seeking to sell high–yield corporate bonds should try to do so near the close on Tuesday or on either Wednesday or Thursday, while those who want to buy them should do so near the close on Friday or on Monday.