The Weekly Structure of US Stock Prices

Article, Research, Preprint OPEN
Guglielmo Maria Caporale; Luis A. Gil-Alana;
  • Publisher: Munich: Center for Economic Studies and Ifo Institute (CESifo)
  • Subject: 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
      ddc: ddc:330

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 struct... View more
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