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The Weekly Structure of US Stock Prices

Author

Listed:
  • Guglielmo Maria Caporale
  • Luis A. Gil-Alana
Abstract
In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and investigate their characteristics depending on the specific day of the week. The results indicate that the four series are highly persistent; a small degree of mean reversion (i.e., orders of integration strictly smaller than 1) is found in some cases for S&P and the Dow Jones indices. The most interesting findings are the differences in the degree of dependence for different days of the week. Specifically, lower orders of integration are systematically observed for Mondays and Fridays, consistently with the “day of the week” effect frequently found in financial data.

Suggested Citation

  • Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "The Weekly Structure of US Stock Prices," CESifo Working Paper Series 3245, CESifo.
    • Handle: RePEc:ces:ceswps:_3245
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    fractional integration; weekly structure; stock prices;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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