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Bootstrapping Fuzzy-GARCH Regressions on the Day of the Week Effect in
Stock Returns: Applications in MATLAB
Eleftherios Giovanis
Abstract
This paper examines the well know day of the week effect on stock returns.
Various
approaches have been developed...
More
1
Bootstrapping Fuzzy-GARCH Regressions on the Day of the Week Effect in
Stock Returns: Applications in MATLAB
Eleftherios Giovanis
Abstract
This paper examines the well know day of the week effect on stock returns.
Various
approaches have been developed and applied in order to examine calendar effects in
stock returns and to formulate appropriate financial and risk portfolios.
We propose an
alternative approach in the estimation of the day of the week effect.
More specifically
we apply fuzzy regressions with triangular membership function in four major stock
market index returns.
We expect that if the day of the week is valid, then the Monday
returns should be negative or lower than the other days of the week and in addition
Friday returns should be the highest.
The main findings and results are mixed and based
on the fuzzy regression we conclude that there isn’t the day of the week or the Monday
effect.
Specifically, we find a reverse Monday effect in S&P 500, a negative Friday
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