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Spurious Seasonality Detection: A Non-Parametric Test Proposal

  • Datos identificativos

    Identificador: imarina:5131853
    Autores:
    Bariviera, Aurelio F. Plastino, Angelo Judge, George
    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.
  • Otros:

    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
  • Palabras clave:

    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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