AN ANALYSIS OF MONTHLY EFFECTS IN THE SPANISH STOCK MARKET USING ARTIFICIAL NEURAL NETWORKS

M. Teresa Sorrosal Forradellas and D. Ramírez Sarrió
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D. Ramírez Sarrió: University of Barcelona

Fuzzy Economic Review, 2009, vol. XIV, issue 1, 31-40

Abstract: This paper presents an analysis of the monthly effects in the Spanish index IBEX-35. Alternatively to other approaches, this work uses a kind of artificial neural networks, the Self Organizing Maps, in order to detect significant differences in the behaviour of the value of the IBEX-35 due to a particular month.

Keywords: calendar effects; time dependence; self organizing maps; Spanish stock market; efficient market hypothesis (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:fzy:fuzeco:v:xiv:y:2009:i:1:p:31-40

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