Constructing weekly returns based on daily stock market data: A puzzle for empirical research Report as inadecuate




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Abstract

The weekly returns of equities are commonly used in the empirical research to avoid the non-synchronicity of daily data. An empirical analysis is used to show that the statistical properties of a weekly stock returns series strongly depend on the method used to construct this series. Three types of weekly returns construction are considered: i Wednesday-to-Wednesday, ii Friday-to-Friday, and iii averaging daily observations within the corresponding week. Considerable distinctions are found between these procedures using data from the SandP500 and DAX stock market indices. Differences occurred in the unit-root tests, identified volatility breaks, unconditional correlations, ARMA-GARCH and DCC MV-GARCH models as well. Our findings provide evidence that the method employed for constructing weekly stock returns can have a decisive effect on the outcomes of empirical studies.



Item Type: MPRA Paper -

Original Title: Constructing weekly returns based on daily stock market data: A puzzle for empirical research?-

Language: English-

Keywords: stock markets, weekly returns, statistical properties-

Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - GeneralG - Financial Economics > G1 - General Financial Markets > G10 - GeneralC - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology ; Computer Programs > C80 - General-





Author: Baumöhl, Eduard

Source: https://mpra.ub.uni-muenchen.de/43431/







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