Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
In this paper we use fractional integration techniques to examine the degree of integration of four US stock market … 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 …