Articles producció científica> Gestió d'Empreses

Spurious Seasonality Detection: A Non-Parametric Test Proposal

  • Identification data

    Identifier: imarina:5131853
    Authors:
    Bariviera, Aurelio F. Plastino, Angelo Judge, George
    Abstract:
    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.
  • Others:

    Author, as appears in the article.: Bariviera, Aurelio F. Plastino, Angelo Judge, George
    Department: Gestió d'Empreses
    URV's Author/s: Fernández Bariviera, Aurelio
    Keywords: Symbolic analysis Stock market Ordinal patterns probabilities Ordinal patterns Daily seasonality
    Abstract: 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.
    Thematic Areas: Economics and econometrics Economics Ciencias sociales
    licence for use: https://creativecommons.org/licenses/by/3.0/es/
    ISSN: 22251146
    Author's mail: aurelio.fernandez@urv.cat
    Author identifier: 0000-0003-1014-1010
    Record's date: 2023-04-29
    Papper version: info:eu-repo/semantics/publishedVersion
    Link to the original source: https://www.mdpi.com/2225-1146/6/1/3
    Papper original source: Econometrics. 6 (1):
    APA: Bariviera, Aurelio F. Plastino, Angelo Judge, George (2018). Spurious Seasonality Detection: A Non-Parametric Test Proposal. Econometrics, 6(1), -. DOI: 10.3390/econometrics6010003
    Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
    Article's DOI: 10.3390/econometrics6010003
    Entity: Universitat Rovira i Virgili
    Journal publication year: 2018
    Publication Type: Journal Publications
  • Keywords:

    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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