Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis

François-Éric Racicot ()

RePAd Working Paper Series from Département des sciences administratives, UQO

Abstract: We revisit the well-known weekend anomaly (Gibbons and Hess, 1981; Harris, 1986; Smirlock and Straks, 1986; Connolly, 1989; Giovanis, 2010) using an established macroeconometric technique known as spectral analysis (Granger, 1964; Sargent, 1987). Our findings show that using regression analysis with dichotomous variables, spectral analysis helps establishing the robustness of the estimated parameters based on a sample of the S&P500 for the 1972-1973 period. As further evidence of cycles in financial times series, we relate our application of spectral analysis to the recent literature on low-frequency components in asset returns (Barberis et al., 2001; Grüne and Semmler, 2008; Semmler et al., 2009). We suggest investment practitioners to consider using spectral analysis for establishing the ‘stylized facts’ of the financial time series under scrutiny and for regression models validation purposes.

Keywords: Spectral Analysis; Weekend Anomaly; Financial Cycles; Low-frequency Components; Asset Returns. (search for similar items in EconPapers)
JEL-codes: C1 G11 G17 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2011-05-30
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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