Testing for weekday anomaly in international stock index returns with non-normal errors
نویسندگان
چکیده
منابع مشابه
Non-stationarities in Stock Returns
Modeling nancial returns on longer time intervals under the assumption of station-arity is, at least intuitively, given the pace of change in world's economy, a choice hard to defend. Relinquishing the global stationarity hypothesis, this paper conducts a data analysis focused on the size of the returns, i.e. the absolute values of returns, under the assumptions that, at least locally, the S&P ...
متن کاملDaily Stock Returns, Non-Normality and Hypothesis Testing
Daily stock returns typically have non-normal and asymmetric distributions, potentially leading to problems with hypothesis testing based on reported probability statistics from regression analysis (Fama 1976; Brooks 2002). While daily stock return data for many years is readily available, recent studies indicate that the non-normality problems may persist even in large samples (Peiro 2002; Bro...
متن کاملTesting for Overreaction and Return Continuations in Stock Price Index Returns
In this paper, the authors examine the impacts of large price changes (or shocks) on the abnormal returns (ARs) of a set of 39 national stock indices. Their initial results support returns continuations for both positive and negative shocks in line with prior results. After controlling for market size, their findings provide support for over-reaction, return continuations and market efficiency,...
متن کاملModel for non-Gaussian intraday stock returns.
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price fluctuations (called intraday returns) and verify the model using a large database for several stocks traded on the London Stock Exchange. We provide evidence tha...
متن کاملThe Structure of International Stock Market Returns
The behavior of international stock market returns in terms of rate of return, unconditional volatility, skewness, excess kurtosis, serial dependence and long-memory is examined. A factor analysis approach is employed to identify the underlying dimensions of stock market returns. In our approach, the factors are estimated not from the observed historical returns but from their empirical propert...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Applied Financial Economics Letters
سال: 2006
ISSN: 1744-6546,1744-6554
DOI: 10.1080/174465405004617252