Loading [a11y]/accessibility-menu.js
Evaluation the day-of-the-week effect using long range dependence measures | IEEE Conference Publication | IEEE Xplore

Evaluation the day-of-the-week effect using long range dependence measures


Abstract:

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 fi...Show More

Abstract:

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.
Date of Conference: 27-29 November 2012
Date Added to IEEE Xplore: 24 January 2013
ISBN Information:

ISSN Information:

Conference Location: Kochi, India

References

References is not available for this document.