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