The impact of portfolio aggregation on day-of-the-week effect: Evidence from Finland
This paper revisits the day-of-the-week anomaly discussion from a portfolio aggregation point of view. Using different levels of portfolio aggregation: market, industry and company levels, it is possible to partly trace the aggregation level of the effect of the factors driving the day-of-the-week anomaly. The effect of portfolio aggregation is measured using a conditional modeling approach. Overall, the results indicate more pronounced day-of-the-week structures in the conditional volatility than in the mean returns and considerably more day-of-the-week structures during the post-euro period. For this period the results indicate that the day-of-the-week effect in the mean is partly a common Finnish market characteristic whereas the day-of-the-week effect in the volatility is found on the industry level of portfolio aggregation.
Year of publication: |
2009
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Authors: | Högholm, Kenneth ; Knif, Johan |
Published in: |
Global Finance Journal. - Elsevier, ISSN 1044-0283. - Vol. 20.2009, 1, p. 67-79
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Publisher: |
Elsevier |
Keywords: | Day-of the-week effect Anomaly Finnish stock market Introduction of the euro |
Saved in:
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