Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/46347
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dc.contributor.authorCaporale, Guglielmo Mariaen_US
dc.contributor.authorGil-Alana, Luis A.en_US
dc.date.accessioned2010-11-25en_US
dc.date.accessioned2011-06-29T11:17:17Z-
dc.date.available2011-06-29T11:17:17Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/46347-
dc.description.abstractIn this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and investigate their characteristics depending on the specific day of the week. The results indicate that the four series are highly persistent; a small degree of mean reversion (i.e., orders of integration strictly smaller than 1) is found in some cases for S&P and the Dow Jones indices. The most interesting findings are the differences in the degree of dependence for different days of the week. Specifically, lower orders of integration are systematically observed for Mondays and Fridays, consistently with the day of the week effect frequently found in financial data.en_US
dc.language.isoengen_US
dc.publisher|aCenter for Economic Studies and Ifo Institute (CESifo) |cMunichen_US
dc.relation.ispartofseries|aCESifo working paper: Monetary Policy and International Finance |x3245en_US
dc.subject.jelC22en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordfractional integrationen_US
dc.subject.keywordweekly structureen_US
dc.subject.keywordstock pricesen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwAktienindexen_US
dc.subject.stwKalendereffekten_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwKointegrationen_US
dc.subject.stwSchätzungen_US
dc.subject.stwUSAen_US
dc.titleThe weekly structure of US stock pricesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn64057842Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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