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Day-of-the-week eects in stock market data
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics. (Matematisk Statistik)
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics. (Matematisk Statistik)
2012 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

The purpose of this thesis is to investigate day-of-the-week effects for stock index returns. The investigations include analysis of means and variances as well as return-distribution properties such as skewness and tail behavior. Moreover, the existences of conditional day-of-the-week effects, depending on the outcome of returns from the previous week, are analyzed. Particular emphasis is put on determining useful testing procedures for differences in variance in return data from different weekdays. Two time series models, AR and GARCH(1,1), are used to find out if any weekday's mean return is different from other days. The investigations are repeated for two-day re- turns and for returns of diversified portfolios made up of several stock index returns.

Place, publisher, year, edition, pages
2012. , 71 p.
Series
TRITA-MAT-E, 2012:08
Keyword [en]
Day-of-the-week effect, Levene's test, Brown-Forsythe test, GARCH, AR, variance test, mean test
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-103863OAI: oai:DiVA.org:kth-103863DiVA: diva2:562202
External cooperation
Industrivärden
Subject / course
Mathematical Statistics
Educational program
Master of Science - Mathematics
Presentation
(English)
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
Available from: 2012-10-24 Created: 2012-10-23 Last updated: 2012-10-24Bibliographically approved

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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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