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The day-of-the-week effect revisited: An alternative testing approach
Alt, Raimund; Fortin, Ines; Weinberger, Simon - 2002
This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in Biometrics and Medical Statistics. We test...
Persistent link: https://www.econbiz.de/10010292794
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The weekly structure of US stock prices
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010
In 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...
Persistent link: https://www.econbiz.de/10010274822
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The Warsaw Stock Exchange index WIG : modelling and forecasting
Wdowiński, Piotr; Zglinska-Pietrzak, Aneta - 2005
In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as...
Persistent link: https://www.econbiz.de/10010277059
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Short-Term Stock Price Reversals May Be Reversed
Kudryavtsev, Andrey - In: International Journal of Economic Sciences and Applied … 5 (2012) 3, pp. 129-146
In present study, I explore intraday behavior of stock prices. In particular, I try to shed light on the dynamics of stock price reversals and namely, on the short-term character the latter may possess. For each of the stocks currently making up the Dow Jones Industrial Index, I calculate...
Persistent link: https://www.econbiz.de/10011310234
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Testing the significance of calendar effects
Hansen, Peter Reinhard; Lunde, Asger - 2003
When evaluating the significance of calendar effects, such as those associated with Monday and January, it is necessary to control for all possible calendar effects to avoid spurious results. The downside of having to control for a large number of possible calendar effects is that it diminish...
Persistent link: https://www.econbiz.de/10010318856
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Is it Beneficial to be Included in a Sustainability Stock Index? A Panel Data Study for European Firms
Ziegler, Andreas - 2009
for European firms that were included in the Dow Jones Stoxx 600 Index over time, our micro-econometric analysis confirms …
Persistent link: https://www.econbiz.de/10011753185
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Washington meets Wall Street: A closer examination of the presidential cycle puzzle
Kräussl, Roman; Lucas, André; Rijsbergen, David R.; … - 2010
-cycle variables capturing time-varying risk premia, differences in risk levels, or by consumer and investor sentiment. In this paper …
Persistent link: https://www.econbiz.de/10010303695
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Washington meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle
Kraeussl, R.; Lucas, A.; Rijsbergen, D.; van der Sluis, P.J. - 2008
This paper tests the policitcal dimensions of the presidential cycle effect in U.S. financial markets. The presidential cycle effect states that average stock market returns are significantly higher in the last two years compared to the first two years of a presidential term. We confirm the...
Persistent link: https://www.econbiz.de/10010325930
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Zeit, Wohlstand und Zufriedenheit - multidimensionale Polarisierung von Zeit und Einkommen: Selbständige und abhängig Beschäftigte
Merz, Joachim; Scherg, Bettina - 2016
In dieser Studie werden Zeit, Wohlstand und Zufriedenheit mit einem interdependenten multidimensionalen (IMD …) Polarisierungsansatz von Zeit und Einkommen und der Entwicklung über 20 Jahre in Deutschland analysiert. Mit dem neuen Ansatz zur … (ZBE/ZVE, GTUS) der Jahre 1991/92, 2001/02 und aktuell 2012/13. Prominentes Ergebnis: Die multidimensionale Zeit und …
Persistent link: https://www.econbiz.de/10011607340
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Kann Offenheit geplant werden? Ein Essay über die zeitliche Dimension in der räumlichen Planung
Siegmund, Yvonne - In: Räumliche Transformation: Prozesse, Konzepte, …, (pp. 165-176). 2019
Sinnzusammenhänge sein. Obgleich in der Planungspraxis der Faktor Zeit noch vorwiegend ignoriert wird, experimentieren einige Ausnahmen …, considering processes as a function of time can be a key to understanding these complex contexts. Although in the planning … practice the factor time is still largely ignored, some exceptions such as Rapid Planning or Slow Urbanism experiment with it …
Persistent link: https://www.econbiz.de/10012108702