MATLAB Routine for Bootstrapping Statistic Hypothesis for Calendar Effects in Stock Returns
7 Pages Posted: 17 Dec 2009
Date Written: December 13, 2009
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 semi-month effect.
Keywords: calendar effects/anomalies, MATLAB, stock returns
JEL Classification: C63, G15
Suggested Citation: Suggested Citation
Giovanis, Eleftherios, MATLAB Routine for Bootstrapping Statistic Hypothesis for Calendar Effects in Stock Returns (December 13, 2009). Available at SSRN: https://ssrn.com/abstract=1522942 or http://dx.doi.org/10.2139/ssrn.1522942
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