A New Look at Calendar Anomalies: Multifractality and Day-of-the-Week Effect

Entropy

H. Eugene Stanley¹  Darko Stosic²  Dusan Stosic²  Tatijana Stosic³  Irena Vodenska⁴ 

[1]Center for Polymer Studies, Department of Physics, Boston University, 590 Commonwealth Avenue, Boston, MA 02215, USA

[2]Centro de Informática, Universidade Federal de Pernambuco, Av. Luiz Freire s/n, Recife 50670-901, PE, Brazil

[3]Departamento de Estatística e Informática, Universidade Federal Rural de Pernambuco, Rua Dom Manoel de Medeiros s/n, Dois Irmãos, Recife 52171-900, PE, Brazil

[4]Department of Administrative Sciences, Metropolitan College, Boston University, 1010 Commonwealth Avenue, Boston, MA 02215, USA

关键词: calendar anomalies;    day-of-the-week effect;    market indices;    multifractal detrended fluctuation analysis;   

DOI  :  10.3390/e24040562

来源: DOAJ

【 摘 要 】

Stock markets can become inefficient due to calendar anomalies known as the day-of-the-week effect. Calendar anomalies are well known in the financial literature, but the phenomena remain to be explored in econophysics. This paper uses multifractal analysis to evaluate if the temporal dynamics of market returns also exhibit calendar anomalies such as day-of-the-week effects. We apply multifractal detrended fluctuation analysis (MF-DFA) to the daily returns of market indices worldwide for each day of the week. Our results indicate that distinct multifractal properties characterize individual days of the week. Monday returns tend to exhibit more persistent behavior and richer multifractal structures than other day-resolved returns. Shuffling the series reveals that multifractality arises from a broad probability density function and long-term correlations. The time-dependent multifractal analysis shows that the Monday returns’ multifractal spectra are much wider than those of other days. This behavior is especially persistent during financial crises. The presence of day-of-the-week effects in multifractal dynamics of market returns motivates further research on calendar anomalies for distinct market regimes.

【 授权许可】

Unknown