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The weekly structure of US stock prices

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  • Guglielmo Maria Caporale
  • Luis Gil-Alana

Abstract

In this article, we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor (S&P), Dow Jones, Nasdaq and New York Stock Exchange (NYSE), at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and investigate their characteristics depending on the specific day of the week. The results indicate that the four series are highly persistent; a small degree of mean reversion (i.e. orders of 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 systematically observed for Mondays and Fridays, consistently with the 'day of the week' effect frequently found in financial data.

Suggested Citation

  • Guglielmo Maria Caporale & Luis Gil-Alana, 2011. "The weekly structure of US stock prices," Applied Financial Economics, Taylor & Francis Journals, vol. 21(23), pages 1757-1764.
  • Handle: RePEc:taf:apfiec:v:21:y:2011:i:23:p:1757-1764 DOI: 10.1080/09603107.2011.562168
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    References listed on IDEAS

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    1. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
    2. Gil-Alana, L.A., 2006. "Fractional integration in daily stock market indexes," Review of Financial Economics, Elsevier, vol. 15(1), pages 28-48.
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    More about this item

    Keywords

    fractional integration; weekly structure; stock prices;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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