Tid: 24 oktober 2012 kl 10.15-11.00.Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Cheung Mei Ting and Su Xun
Titel: Day-of-the-week effects in stock market data (Examensarbete - Master thesis)
Abstract The purpose of this thesis is to investigate day-of-the-week effects for stock index returns. The investigations include analysis of means and variances as well as return-distribution properties such as skewness and tail behavior. Moreover, the existences of conditional day-of-the-week effects, depending on the outcome of returns from the previous week, are analyzed. Particular emphasis is put on determining useful testing procedures for differences in variance in return data from different weekdays. Two time series models, AR and GARCH(1,1), are used to find out if any weekday's mean return is different from other days. The investigations are repeated for two-day returns and for returns of diversified portfolios made up of several stock index returns.
|Sidansvarig: Filip Lindskog