伍斯特理工学院论文代写:有效的市场理论
伍斯特理工学院论文代写:有效的市场理论
周末效应是另一种形式的日历异常。在这种影响股票价格收益的工作日是有利的,但回报被认为是负面的周五下半年意思是关闭开放时间星期一。它也观察到,股票的价格通常在下半年增加。在详细研究这种影响,克里姆研究员斯丹博在1984年与另一个。他们做研究的时间范围从1928年到1928年。他们使用的价格价值加权指数综合股价指数。这是第一次有人如此长的时间跨度覆盖的回报。根据他们的研究的第一天周即周一经历了一个显著的负回报水平的效果。他们还发现,这个星期的最后一天是星期六经历了强烈的积极回报(阿里尔,1990)。
这些测试结果在95%的自信。然而他们也拒绝在九子区间的五年学习相同的置信水平为95%。他们还做了一个研究子时期从1928年到1953年,从1953年到1953年。在这两个子期,他们发现这个星期的最后一天回报指数显著积极的。他们还发现,本月开始回报即周一往往显著负面。他们还包括尺寸效应的计算。他们发现,积极回报这个星期的最后一天都明显高于规模较小的公司。因此,尺寸效应也影响了回报。
在另一项研究,发现了相同的结果返回的美国国债。因此这种效应也出现在债券市场。
类似于另一个研究结果轮到发现回报倾向于积极的在一天结束的时候。
伍斯特理工学院论文代写:有效的市场理论
Weekend effect is another form of calendar anomaly. In this effect the stock price returns are positive for the weekdays but the returns are seen to be negative for Friday in the latter half meaning time which is close the opening time Monday. It has also been observed that the prices of the shares normally rise during the latter half of the day. This effect was researched in the detail by Kerim with another researcher Stambaugh in the year 1984.They did research on a time horizon from year 1928 to 1982. They used the price of the value weighted S&P Composite stock price Index. It was the first time that anyone had covered such long time span returns. According to their study the first day of the week i.e. Monday experienced a significant level of negative return effect. They also found out that the last day of the week which is Saturday experienced a strong positive return (Ariel, 1990).
These results were tested at 95% level of confidence. However they also rejected around nine subintervals of five years in their study at the same confidence level of 95%. They also did a research on the sub periods from the year 1928 to the year 1953 and from the year 1953 to 1982. In both the sub periods, they found out that the returns on the last day of the week for this Index was significantly positive. They also found that the returns on the starting of the month i.e. Monday tend to be significantly negative. They also included the size effect in their calculations. They found that the positive returns on the last day of the week were significantly higher for the firms which are small in size. Thus the size effect also affected the returns.
In another research, the same results were discovered in the returns of the US treasury bills. Hence this effect was also seen in the bond market too.
Similar to this result in another research it was found that the returns tend to turn positive at the end of the day.
