Abstract
Daily return series of Dow Jones Industrial Average Index (DJIA) and Shanghai Conposite Index are investigated using spectral analysis methods. The day-of-the-week effect is found in the frequency domain in both stock markets. Time-domain performances of the daily returns are also studied. Although both markets have a clear weekly component in the frequency domain, they show some different behaviors with respect to the day-of-the-week effects.
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Li, WH., Wang, SZ. Spectral analysis of stock data series and evidence of day-of-the-week effects. J. of Shanghai Univ. 6, 136–140 (2002). https://doi.org/10.1007/s11741-002-0021-4
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DOI: https://doi.org/10.1007/s11741-002-0021-4