Introducere în analiza anomaliilor calendaristice, Partea a doua

An Introduction to the Analysis of the Calendar Anomalies, Part 2

Răzvan Stefanescu and Ramona Dumitriu

MPRA Paper from University Library of Munich, Germany

Abstract: This paper approaches some simple methods for the calendar anomalies identification. Taking the TOY Effect as an example, we show how the t tests or the OLS regressions could be used to detect a seasonal component of the financial assets’ returns.

Keywords: Financial markets; Calendar anomalies; Turn-of-the-year effect (search for similar items in EconPapers)
JEL-codes: G02 G10 G14 (search for similar items in EconPapers)
Date: 2020-01-04
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:97961

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