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

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Publikace nespadá pod Fakultu sportovních studií, ale pod Fakultu informatiky. Oficiální stránka publikace je na webu muni.cz.
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KRIKSCIUNIENE Dalia SAKALAUSKAS Virgilijus

Rok publikování 2012
Druh Článek ve sborníku
Konference Proceedings of 12th International Conference on Intelligent Systems Design and Applications (ISDA)
Fakulta / Pracoviště MU

Fakulta informatiky

Citace
www
Doi http://dx.doi.org/10.1109/ISDA.2012.6416527
Obor Informatika
Klíčová slova Hurst exponent; informational efficiency; financial market; calendar effect; stock return; emerging market
Popis 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.
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