Electronic copy available at: http://ssrn.
com/abstract=1522942
1
MATLAB routine for bootstrapping statistic hypothesis for calendar effects in
stock returns
Eleftherios Giovanis
Abstract
This paper presents a programming routine in MATLAB software for...
More
Electronic copy available at: http://ssrn.
com/abstract=1522942
1
MATLAB routine for bootstrapping statistic hypothesis for calendar effects in
stock returns
Eleftherios Giovanis
Abstract
This paper presents a programming routine in MATLAB software for applications in
calendar effects or anomalies in stock returns.
The calendar effects which are tested is
the turn-of-the-month, the day-of-the-Week, the month-of-the-Year and the semimonth effect.
Keywords: calendar effects/anomalies, MATLAB, stock returns
Introduction
We find useful to provide the specific routine as it’s not perfect and can be modified
in order to be improved, but also we provide it for application for further study and
research as also for applications in other scientific fields , not only in finance and
economics, but anywhere which the specific routine might has application.
This script
file has been used in the paper study of Giovanis (2009) and we don’t present the
results and the methodology here, but only the
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