Autor según el artículo: Bariviera, Aurelio F. Plastino, Angelo Judge, George

Departamento: Gestió d'Empreses

Autor/es de la URV: Fernández Bariviera, Aurelio

Palabras clave: Symbolic analysis Stock market Ordinal patterns probabilities Ordinal patterns Daily seasonality

Resumen: 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.

Áreas temáticas: Economics and econometrics Economics Ciencias sociales

Acceso a la licencia de uso: https://creativecommons.org/licenses/by/3.0/es/

ISSN: 22251146

Direcció de correo del autor: aurelio.fernandez@urv.cat

Identificador del autor: 0000-0003-1014-1010

Fecha de alta del registro: 2023-04-29

Versión del articulo depositado: info:eu-repo/semantics/publishedVersion

Enlace a la fuente original: https://www.mdpi.com/2225-1146/6/1/3

URL Documento de licencia: http://repositori.urv.cat/ca/proteccio-de-dades/

Referencia al articulo segun fuente origial: Econometrics. 6 (1):

Referencia 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

DOI del artículo: 10.3390/econometrics6010003

Entidad: Universitat Rovira i Virgili

Año de publicación de la revista: 2018

Tipo de publicación: Journal Publications