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
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
URL Documento de licencia: https://repositori.urv.cat/ca/proteccio-de-dades/
DOI del artículo: 10.3390/econometrics6010003
Entidad: Universitat Rovira i Virgili
Año de publicación de la revista: 2018
Tipo de publicación: Journal Publications