Spectral Analysis of Stock Data Series and Evidence of Day-of-the-Week Effects

被引：0

作者：

李卫华

王朔中

机构：

来源：

JournalofShanghaiUniversity | 2002年 / 02期

关键词：

daily return; day of the week effect; periodogram; maximum entropy;

D O I：

暂无

中图分类号：

F830.9 [金融市场];

学科分类号：

1201 ; 020204 ;

摘要：

Daily return series of Dow Jones Industrial Average Index (DJIA) and Shanghai Conposite Index are investigated using spectral analysis methods. The day of the week effect is found in the frequency domain in both stock markets. Time domain performances of the daily returns are also studied. Although both markets have a clear weekly component in the frequency domain, they show some different behaviors with respect to the day of the week effects.

引用

页码：136 / 140

页数：5

共 3 条

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SANG Hong wei MA Tian WANG Shuo zhong School of Communication and Information Engineering Shanghai University Shanghai China .

JournalofShanghaiUniversity, 2001, (04) :269-272

[2]

Return distributions and the day-of-the-week effects in the stock exchange of Thailand[J] . Ravindra R. Kamath,Rinjai Chakornpipat,Arjun Chatrath.Journal of Economics and Finance . 1998 (2)

[3]

Stock Returns and the Weekend Effect .2 French K. Journal of Financial Economics . 1980

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