کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
975235 1479789 2013 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Day-of-the-week effect on the VIX. A parsimonious representation
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Day-of-the-week effect on the VIX. A parsimonious representation
چکیده انگلیسی
The study of significant deterministic seasonal patterns in financial asset returns is of high importance to academia and investors. This paper analyzes the presence of seasonal daily patterns in the VIX and S&P 500 returns series using a trigonometric specification. First, we show that, given the isomorphism between the trigonometrical and alternative seasonality representations (i.e., daily dummies), it is possible to test daily seasonal patterns by employing a trigonometrical representation based on a finite sum of weighted sines and cosines. We find a potential evolutive seasonal pattern in the daily VIX that is not in the daily S&P 500 log-returns series. In particular, we find an inverted Monday effect in the VIX level and changes in the VIX, and a U-shaped seasonal pattern in the changes in the VIX when we control for outliers. The trigonometrical representation is more robust to outliers than the one commonly used by literature, but it is not immune to them. Finally, we do not find a day-of-the-week effect in S&P 500 returns series, which suggests the presence of a deterministic seasonal pattern in the relation between VIX and S&P 500 returns.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The North American Journal of Economics and Finance - Volume 25, August 2013, Pages 243-260
نویسندگان
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