Day-of-the-week effect in Consumer Confidence Index The case of Turkey
The aim of this study is to examine the validity of the day-of-the-week effect on both mean and volatility for changes in Consumer Confidence Index in Turkey. To the best of our knowledge, there is no previous study on this topic for an emerging market. Employing the E-GARCH method, we are able to v...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | eBook |
| Language: | English |
| Published: |
Paris
OECD Publishing
2013
|
| Subjects: | |
| Online Access: | |
| Collection: | OECD Books and Papers - Collection details see MPG.ReNa |
| Summary: | The aim of this study is to examine the validity of the day-of-the-week effect on both mean and volatility for changes in Consumer Confidence Index in Turkey. To the best of our knowledge, there is no previous study on this topic for an emerging market. Employing the E-GARCH method, we are able to validate day-of-the-week effect both in mean and volatility of the daily changes in the Consumer Confidence Index. In our findings, the mean equation exhibits only a Friday effect and the lowest volatility is also observed for Friday. Additionally, we use nonparametric stochastic dominance (SD) approach by employing several SD tests and verify the existence of Friday effects |
|---|---|
| Physical Description: | 10 p. 21 x 28cm |