Results 221 to 230 of about 594,076 (260)

Calendar effects in Bitcoin returns and volatility

Finance Research Letters, 2021
Abstract We use a GARCH dummy model to study the influence of calendar effects on daily conditional returns and volatility of Bitcoin during the period 2013–2019. The Halloween, day-of-the-week (DOW), and month-of-the-year (MOY) effects are analyzed. Our results reveal no evidence of a Halloween calendar anomaly. A classical DOW effect is not present
Kinateder, Harald, Papavassiliou, Vassilios G.   +1 more
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Calendar Effects in Pakistani Stock Market

SSRN Electronic Journal, 2008
The paper investigates calendar anomalies in the Pakistani stock market by taking a data of stock returns of fifteen years from November 1991 to October 2006. The existence of calendar anomalies could endanger the assumption of Efficient Market Hypothesis. Using one Factor ANOVA the main hypotheses about equality in returns on daily, weekly and monthly
Shahid Ali, Muhammad Akbar
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Effect of calendar layout on calendar search

Ergonomics, 1989
Abstract Although the conventional calendar month is formatted as an arrangement of 7 days × 5 weeks, the weeks are sometimes configured as horizontal rows and sometimes as vertical columns, and the day which begins the week is sometimes Sunday and sometimes Monday.
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Calendar Effects and Real Estate Securities

The Journal of Real Estate Finance and Economics, 2013
This paper examines twenty-seven international real estate securities indices from twenty countries and regions for calendar effects. Two methodologies are employed. The first is the standard approach which detects statistically significant anomalies via linear regression of returns.
E. C. M. Hui, J. A. Wright, S. C. P. Yam
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DYNAMICAL ESTIMATION OF CALENDAR EFFECTS

Fluctuation and Noise Letters, 2006
The paper introduces a method for estimation and reduction of calendar effects from time series, which their fluctuations are governed by a nonlinear dynamical system and additive normal noise. Calendar effects can be considered deviations of the distribution(s) of particular group(s) of observations that have a common characteristic related to the ...
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Testing the significance of calendar effects [PDF]

, 2003
When evaluating the significance of calendar effects, such as those associated with Monday and January, it is necessary to control for all possible calendar effects to avoid spurious results. The downside of having to control for a large number of possible calendar effects is that it diminish the power and makes it harder to detect real anomalies. This
Peter Hansen, Asger Lunde
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Calendar Effects on the Amsterdam Stock Exchange

De Economist, 2003
For daily data on a value-weighted index of all shares in the Netherlands (1981-1998), we find abnormally high returns in the pre-Christmas period of the second half of December and around the turn of the month, whereas returns are negative and volatility is relatively high on the Mondays where the previous week's return is below zero. Furthermore, our
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Calendar effects in daily ATM withdrawals [PDF]

Economics Bulletin, 2010
This paper analyses the calendar effects present in Automated Teller Machines (ATM) withdrawals of residents, using daily data for Portugal for the period from January 1st 2001 to December 31st 2008. The results presented may allow for a better understanding of consumer habits and for adjusting the original series for calendar effects.
Paulo Rodrigues, Paulo Esteves
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Calendar effects of the Chinese stock markets

International Journal of Business and Emerging Markets, 2013
Drawing upon extant literature on the impact of calendar effects (daily effect and monthly effect) on the stock markets, the authors employ regression analysis to test the relationship between mean daily returns of trading days and mean returns of the remaining trading days of the week (in effect, calendar effects), on the Chinese stock markets.
Jaw Kai Wang, Udechukwu Ojiako, Ling Wang   +2 more
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Calendar Effects in the Analysis of Seasonal Data

American Journal of Epidemiology, 1994
A variety of statistical methods exist for analyzing seasonal patterns in epidemiologic data. As a simplification in the calculations, these methods often do not explicitly take into account certain calendar effects, such as the variation in month length, the irregular number of weekend days in each month, and the occurrence of holidays.
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