Salient features of dependence in daily US stock market indices

Luis Gil-Alana, Juncal Cuñado () and Fernando Perez de Gracia

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 15, 3198-3212

Abstract: This paper deals with the analysis of long range dependence in the US stock market. We focus first on the log-values of the Dow Jones Industrial Average, Standard and Poors 500 and Nasdaq indices, daily from February, 1971 to February, 2007. The volatility processes are examined based on the squared and the absolute values of the returns series, and the stability of the parameters across time is also investigated in both the level and the volatility processes. A method that permits us to estimate fractional differencing parameters in the context of structural breaks is conducted in this paper. Finally, the “day of the week” effect is examined by looking at the order of integration for each day of the week, providing also a new modeling approach to describe the dependence in this context.

Keywords: Long range dependence; Volatility; US stock market; Day of week effect (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:15:p:3198-3212

DOI: 10.1016/j.physa.2013.03.040

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