MATLAB Routine for Bootstrapping Statistic Hypothesis for Calendar Effects in Stock Returns

7 Pages Posted: 17 Dec 2009

See all articles by Eleftherios Giovanis

Eleftherios Giovanis

Aydin Adnan Menderes University, Nazilli Faculty of Economics and Administrative Sciences; Economic Research Forum (ERF)

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

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

Eleftherios Giovanis (Contact Author)

Aydin Adnan Menderes University, Nazilli Faculty of Economics and Administrative Sciences ( email )

Nazilli IIBF
Sumer Kampusu
Aydin, Nazilli 09800
Turkey

Economic Research Forum (ERF) ( email )

21 Al-Sad Al-Aaly St.
(P.O. Box: 12311)
Dokki, Cairo
Egypt

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