Seasonal Anomaly in stock returns has become one of the most predominant topics for nearly three decades. Several studies have identified Seasonal Anomalies that present challenges to the existence of the Efficient Market Hypothesis. Three widely-known seasonal anomalies are the Weekend effect, the Year-end effect and the Week-of-the-Month effect. Despite of the fact that researches about stock return's seasonal anomalies are abundant, the probes regarding whether money market instruments possess the same characteristics are scarce. The aim of this study is to investigate if a Day-of-the-Week effect exists in the change of interest rate of financing oriented commercial papers issuance. In other words, is the change of interest rate on a particular weekday higher than those of the other trading days when financing-oriented commercial papers are issued. The results indicate some Day-of-the-Week effects do exist. Due to the boundness of the time covered, data reliability and Central Bank's monetary policy, a further study, however, deserves to be continued.