Masters Theses

Juan Liu

Keywords and Phrases

Day-of-the-week-effect; GARCH; Heteroscedasticity; S&P 500-index

Abstract

"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.

Advisor(s)

Samaranayake, V A.

Committee Member(s)

Olbricht, Gayla R.
Gelles, Gregory M.

Department(s)

Mathematics and Statistics

Degree Name

M.S. in Mathematics

Publisher

Missouri University of Science and Technology

Publication Date

Summer 2015

Pagination

ix, 56 pages

Note about bibliography

Includes bibliographical references (pages 53-55).

Rights

© 2015 Juan Liu, All rights reserved.

Document Type

Thesis - Open Access

File Type

text

Language

English

Subject Headings

Stock price forecasting -- Mathematical modelsGARCH modelTime series analysis

Thesis Number

T 10741

Electronic OCLC #

921186174

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