What is it about?
This paper revisits the old day-of-the-week effect in stock markets. However, it does with a renowed vision, proposing a test based on ordinal patterns. This test avoid assuming any special distribution for stock returns.
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Why is it important?
It is an alternative vision to the classical day-of-the-week effect. It proposes a new vision on daily seasonality.
Perspectives
The idea behind the paper is that, if stock markets are efficient, the ordinal patterns of daily returns across the week should follow an uniform distribution.
Dr Aurelio F. Bariviera
Universitat Rovira i Virgili
Read the Original
This page is a summary of: Spurious Seasonality Detection: A Non-Parametric Test Proposal, Econometrics, January 2018, MDPI AG,
DOI: 10.3390/econometrics6010003.
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