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

Varování

Publikace nespadá pod Filozofickou fakultu, ale pod Fakultu informatiky. Oficiální stránka publikace je na webu muni.cz.

Autoři	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	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
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.
Související projekty:	Účast ČR v European Research Consortium for Informatics and Mathematics