Evaluation the Day-of-the-Week Effect Using Long Range Dependence Measures

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Authors	KRIKSCIUNIENE Dalia SAKALAUSKAS Virgilijus
Year of publication	2012
Type	Article in Proceedings
Conference	Proceedings of 12th International Conference on Intelligent Systems Design and Applications (ISDA)
MU Faculty or unit	Faculty of Informatics
Citation
Web	http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=6416527 http://ieeexplore.ieee.org/xpls/abs_all.jsp?arnumber=6416527&tag=1
Doi	http://dx.doi.org/10.1109/ISDA.2012.6416527
Field	Informatics
Keywords	Hurst exponent; informational efficiency; financial market; calendar effect; stock return; emerging market
Description	The researchers working in the area of financial market investigations have noticed various anomalies which cause deviations from the most widely discussed laws of the financial markets - the efficient market hypothesis. The day-of-the-week effect is one of the types of financial market anomalies, when the particular days of the week have exclusive characteristics of trading activeness or the profitability of the stocks. In this article we explore possibilities to identify the day-of-the-week effect in emerging financial markets by applying Hurst exponent measure which is primarily designed for identification and measurement of long range dependence and information efficiency of time series.
Related projects:	Czech Republic membership in the European Research Consortium for Informatics and Mathematics