Keywords and Phrases
Day-of-the-week-effect; GARCH; Heteroscedasticity; S&P 500-index
"Previous studies have shown that returns associated with the stock market or foreign exchange's futures show variations across the day of the week. On such study, that employs a modified GARCH model for estimation, shows that returns associated with the S&P 500 stock index is highest on Wednesday and lowest returns on Monday. The same study shows that volatility is highest on Fridays and lowest on Wednesdays. In this study we investigate if this day-of-the-week effect on returns and volatility is present in the different sectors that constitute the S&P 500 index. The data set used provides daily returns from February 2005 to February 2015 and is more recent than the data used for the original study on the S&P index. Results show mixed outcomes with some days showing higher returns or volatilities on certain days of the week depending on the sector."--Abstract, page iii.
Samaranayake, V A.
Olbricht, Gayla R.
Gelles, Gregory M.
Mathematics and Statistics
M.S. in Mathematics
Missouri University of Science and Technology
ix, 56 pages
© 2015 Juan Liu, All rights reserved.
Thesis - Open Access
Library of Congress Subject Headings
Stock price forecasting -- Mathematical models
Time series analysis
Electronic OCLC #
Liu, Juan, "Day of the week effect in returns and volatility of the S&P 500 sector indices" (2015). Masters Theses. 7436.