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Spurious Seasonality Detection: A Non-Parametric Test Proposal

  • Dades identificatives

    Identificador: imarina:5131853
    Autors:
    Bariviera, Aurelio F. Plastino, Angelo Judge, George
    Resum:
    This paper offers a general and comprehensive definition of the day-of-the-week effect. Using symbolic dynamics, we develop a unique test based on ordinal patterns in order to detect it. This test uncovers the fact that the so-called 'day-of-the-week' effect is partly an artifact of the hidden correlation structure of the data. We present simulations based on artificial time series as well. While time series generated with long memory are prone to exhibit daily seasonality, pure white noise signals exhibit no pattern preference. Since ours is a non-parametric test, it requires no assumptions about the distribution of returns, so that it could be a practical alternative to conventional econometric tests. We also made an exhaustive application of the here-proposed technique to 83 stock indexes around the world. Finally, the paper highlights the relevance of symbolic analysis in economic time series studies.
  • Altres:

    Autor segons l'article: Bariviera, Aurelio F. Plastino, Angelo Judge, George
    Departament: Gestió d'Empreses
    Autor/s de la URV: Fernández Bariviera, Aurelio
    Paraules clau: Symbolic analysis Stock market Ordinal patterns probabilities Ordinal patterns Daily seasonality
    Resum: This paper offers a general and comprehensive definition of the day-of-the-week effect. Using symbolic dynamics, we develop a unique test based on ordinal patterns in order to detect it. This test uncovers the fact that the so-called 'day-of-the-week' effect is partly an artifact of the hidden correlation structure of the data. We present simulations based on artificial time series as well. While time series generated with long memory are prone to exhibit daily seasonality, pure white noise signals exhibit no pattern preference. Since ours is a non-parametric test, it requires no assumptions about the distribution of returns, so that it could be a practical alternative to conventional econometric tests. We also made an exhaustive application of the here-proposed technique to 83 stock indexes around the world. Finally, the paper highlights the relevance of symbolic analysis in economic time series studies.
    Àrees temàtiques: Economics and econometrics Economics Ciencias sociales
    Accès a la llicència d'ús: https://creativecommons.org/licenses/by/3.0/es/
    ISSN: 22251146
    Adreça de correu electrònic de l'autor: aurelio.fernandez@urv.cat
    Identificador de l'autor: 0000-0003-1014-1010
    Data d'alta del registre: 2023-04-29
    Versió de l'article dipositat: info:eu-repo/semantics/publishedVersion
    Enllaç font original: https://www.mdpi.com/2225-1146/6/1/3
    Referència a l'article segons font original: Econometrics. 6 (1):
    Referència de l'ítem segons les normes APA: Bariviera, Aurelio F. Plastino, Angelo Judge, George (2018). Spurious Seasonality Detection: A Non-Parametric Test Proposal. Econometrics, 6(1), -. DOI: 10.3390/econometrics6010003
    URL Document de llicència: https://repositori.urv.cat/ca/proteccio-de-dades/
    DOI de l'article: 10.3390/econometrics6010003
    Entitat: Universitat Rovira i Virgili
    Any de publicació de la revista: 2018
    Tipus de publicació: Journal Publications
  • Paraules clau:

    Economics,Economics and Econometrics
    Symbolic analysis
    Stock market
    Ordinal patterns probabilities
    Ordinal patterns
    Daily seasonality
    Economics and econometrics
    Economics
    Ciencias sociales
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