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.
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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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