About: Evaluation the Day-of-the-Week Effect Using Long Range Dependence Measures

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Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://ieeexplore.ieee.org/xpls/abs_all.jsp?arnumber=6416527&tag=1
Description	The researchers working in the area of financial market investigations have noticed various anomalies which cause deviations from the most widely discussed laws of the financial markets - the efficient market hypothesis. The day-of-the-week effect is one of the types of financial market anomalies, when the particular days of the week have exclusive characteristics of trading activeness or the profitability of the stocks. In this article we explore possibilities to identify the day-of-the-week effect in emerging financial markets by applying Hurst exponent measure which is primarily designed for identification and measurement of long range dependence and information efficiency of time series. The researchers working in the area of financial market investigations have noticed various anomalies which cause deviations from the most widely discussed laws of the financial markets - the efficient market hypothesis. The day-of-the-week effect is one of the types of financial market anomalies, when the particular days of the week have exclusive characteristics of trading activeness or the profitability of the stocks. In this article we explore possibilities to identify the day-of-the-week effect in emerging financial markets by applying Hurst exponent measure which is primarily designed for identification and measurement of long range dependence and information efficiency of time series. (en)
Title	Evaluation the Day-of-the-Week Effect Using Long Range Dependence Measures Evaluation the Day-of-the-Week Effect Using Long Range Dependence Measures (en)
skos:prefLabel	Evaluation the Day-of-the-Week Effect Using Long Range Dependence Measures Evaluation the Day-of-the-Week Effect Using Long Range Dependence Measures (en)
skos:notation	RIV/00216224:14330/12:00062298!RIV13-MSM-14330___
http://linked.open...avai/riv/aktivita	I P S
http://linked.open...avai/riv/aktivity	I, P(LA09016), S
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Kriksciuniene, Dalia
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Masarykova univerzita / Fakulta informatiky
http://linked.open...dnocenehoVysledku	135240
http://linked.open...ai/riv/idVysledku	RIV/00216224:14330/12:00062298
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Hurst exponent; informational efficiency; financial market; calendar effect; stock return; emerging market (en)
http://linked.open.../riv/klicoveSlovo	Hurst exponent financial market calendar effect emerging market informational efficiency stock return
http://linked.open...ontrolniKodProRIV	[135BCD19A26B]
http://linked.open...v/mistoKonaniAkce	Kochi, India
http://linked.open...i/riv/mistoVydani	Kochi, India
http://linked.open...i/riv/nazevZdroje	Proceedings of 12th International Conference on Intelligent Systems Design and Applications (ISDA)
http://linked.open...in/vavai/riv/obor	IN
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Czech Republic membership in the European Research Consortium for Informatics and Mathematics (ERCIM)
http://linked.open...UplatneniVysledku	2012
http://linked.open...iv/tvurceVysledku	Kriksciuniene, Dalia Sakalauskas, Virgilijus
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2012-11-27 (xsd:date)
issn	2164-7143
number of pages	6 (xsd:int)
http://bibframe.org/vocab/doi	10.1109/ISDA.2012.6416527
http://purl.org/ne...btex#hasPublisher	IEEE
https://schema.org/isbn	9781467351171
http://localhost/t...ganizacniJednotka	14330

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