MATLAB Routine for Bootstrapping Statistic Hypothesis for Calendar Effects in Stock Returns
7 Pages Posted: 17 Dec 2009
Date Written: December 13, 2009
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