Evaluation the Day-of-the-Week Effect Using Long Range Dependence Measures

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Authors

KRIKSCIUNIENE Dalia SAKALAUSKAS Virgilijus

Year of publication 2012
Type Article in Proceedings
Conference Proceedings of 12th International Conference on Intelligent Systems Design and Applications (ISDA)
MU Faculty or unit

Faculty of Informatics

Citation
Web
Doi http://dx.doi.org/10.1109/ISDA.2012.6416527
Field Informatics
Keywords Hurst exponent; informational efficiency; financial market; calendar effect; stock return; emerging market
Description The researchers working in the area of financial market investigations have noticed various anomalies which cause deviations from the most widely discussed laws of the financial markets - the efficient market hypothesis. The day-of-the-week effect is one of the types of financial market anomalies, when the particular days of the week have exclusive characteristics of trading activeness or the profitability of the stocks. In this article we explore possibilities to identify the day-of-the-week effect in emerging financial markets by applying Hurst exponent measure which is primarily designed for identification and measurement of long range dependence and information efficiency of time series.
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