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The impact of portfolio aggregation on day-of-the-week effect: Evidence from Finland

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  • Högholm, Kenneth
  • Knif, Johan
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    Abstract

    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.

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    File URL: http://www.sciencedirect.com/science/article/B6W4F-4VXDTXJ-2/2/a699319e9898f0a9899ca314799f876a
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    Bibliographic Info

    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 20 (2009)
    Issue (Month): 1 ()
    Pages: 67-79

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    Handle: RePEc:eee:glofin:v:20:y:2009:i:1:p:67-79

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    Web page: http://www.elsevier.com/locate/inca/620162

    Related research

    Keywords: Day-of the-week effect Anomaly Finnish stock market Introduction of the euro;

    References

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