The weekly structure of US stock prices
Unknown, Article, Research, Preprint
Caporale, Guglielmo Maria
Gil-Alana, Luis A.
- Publisher: Centre for EMEA Banking, Finance and Economics, London Metropolitan University
C22 | USA | dewey330 | Börsenkurs | Kointegration | G12 | Kalendereffekt | Fractional Integration, Weekly Structure, Stock Prices | Weekly Structure | Stock Prices | Zeitreihenanalyse | Aktienindex | Fractional Integration | Schätzung
jel: jel:C22 | jel:G12
In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and investigate their characteristics depending on the specific day of the week. The results indicate that the four series are highly persistent; a small degree of mean reversion (i.e., orders of integration strictly smaller than 1) is found in some cases for
S&P and the Dow Jones indices. The most interesting findings are the differences in the degree of dependence for different days of the week. Specifically, lower orders of
integration are systematically observed for Mondays and Fridays, consistently with the “day of the week” effect frequently found in financial data.
The second-named author gratefully acknowledges financial support from the the
Ministerio de Ciencia y Tecnología (ECO2008-03035 ECON Y FINANZAS, Spain) and from a PIUNA Project from the University of Navarra.
Similar Research Results
views in local repository
downloads in local repository
The information is available from the following content providers: