Introducere în analiza anomaliilor calendaristice, Partea a doua (An Introduction to the Analysis of the Calendar Anomalies, Part 2)

Abstract

Romanian Abstract: Această lucrare abordează câteva metode simple de identificare a anomaliilor calendaristice. Luând ca exemplu Efectul TOY, vom arăta cum pot fi aplicate testele t sau regresiile OLS pentru a detecta o componentă sezonieră a evoluţiei randamentelor activelor financiare.

English Abstract: This paper approaches some simple methods for the calendar anomalies identification. Taking the TOY Effect as an example, we show how the t tests or the OLS regressions could be used to detect a seasonal component of the financial assets’ returns.

Note: Downloadable document in Romanian.

Keywords: Financial Markets, Calendar Anomalies, Turn-of-the-Year Effect

JEL Classification: G10, G14, G40