Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis
AbstractWe revisit the well-known weekend anomaly (Gibbons and Hess, 1981; Harris, 1986; Smirlock and Straks, 1986; Connolly, 1989; Giovanis, 2010) using an established macroeconometric technique known as spectral analysis (Granger, 1964; Sargent, 1987). Our findings show that using regression analysis with dichotomous variables, spectral analysis helps establishing the robustness of the estimated parameters based on a sample of the S&P500 for the 1972-1973 period. As further evidence of cycles in financial times series, we relate our application of spectral analysis to the recent literature on low-frequency components in asset returns (Barberis et al., 2001; Grüne and Semmler, 2008; Semmler et al., 2009). We suggest investment practitioners to consider using spectral analysis for establishing the ‘stylized facts’ of the financial time series under scrutiny and for regression models validation purposes.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number UQO-DSA-wp052011.
Length: 18 pages
Date of creation: 30 May 2011
Date of revision:
Contact details of provider:
Postal: Pavillon Lucien Brault, 101 rue Saint Jean-Bosco, Gatineau (Québec) J8Y 3G5
Phone: (819) 595-3900
Fax: (819) 773-1747
Web page: http://www.repad.org/
More information through EDIRC
Spectral Analysis; Weekend Anomaly; Financial Cycles; Low-frequency Components; Asset Returns.;
Find related papers by JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-11 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Francois-Éric Racicot, 2007. "Techniques alternatives d’estimation et tests en présence d’erreurs de mesure sur les variables explicatives," RePAd Working Paper Series UQO-DSA-wp022007, Département des sciences administratives, UQO.
- Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
- Grüne, Lars & Semmler, Willi, 2008. "Asset pricing with loss aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3253-3274, October.
- Francois-Éric Racicot & Raymond Théoret, 2008. "Optimal Instrumental Variables Generators Based on Improved Hausman Regression, with an Application to Hedge Funds Returns," RePAd Working Paper Series UQO-DSA-wp012008, Département des sciences administratives, UQO.
- Francois-Éric Racicot, 2000. "Estimation et tests en présence d'erreurs de mesure sur les variables explicatives : vérification empirique par la méthode de simulation Monte Carlo," RePAd Working Paper Series UQO-DSA-wp022008, Département des sciences administratives, UQO.
- Coen, Alain & Racicot, Francois-Eric, 2007. "Capital asset pricing models revisited: Evidence from errors in variables," Economics Letters, Elsevier, vol. 95(3), pages 443-450, June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Calmes).
If references are entirely missing, you can add them using this form.