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Spurious Seasonality Detection: A Non-Parametric Test Proposal

Author

Listed:
  • Aurelio F. Bariviera

    (Department of Business, Universitat Rovira i Virgili, Av. Universitat 1, 43204 Reus, Spain)

  • Angelo Plastino

    (IFLP-CONICET-UNLP, C. C. 727, 1900 La Plata, Argentina
    SThAR-EPFL Innovation Park, 1015 Lausanne, Switzerland)

  • George Judge

    (Graduate College, 207 Giannini Hall, University of California Berkeley, Berkeley, CA 94720, USA)

Abstract

This paper offers a general and comprehensive definition of the day-of-the-week effect. Using symbolic dynamics, we develop a unique test based on ordinal patterns in order to detect it. This test uncovers the fact that the so-called “day-of-the-week” effect is partly an artifact of the hidden correlation structure of the data. We present simulations based on artificial time series as well. While time series generated with long memory are prone to exhibit daily seasonality, pure white noise signals exhibit no pattern preference. Since ours is a non-parametric test, it requires no assumptions about the distribution of returns, so that it could be a practical alternative to conventional econometric tests. We also made an exhaustive application of the here-proposed technique to 83 stock indexes around the world. Finally, the paper highlights the relevance of symbolic analysis in economic time series studies.

Suggested Citation

  • Aurelio F. Bariviera & Angelo Plastino & George Judge, 2018. "Spurious Seasonality Detection: A Non-Parametric Test Proposal," Econometrics, MDPI, vol. 6(1), pages 1-15, January.
    • Handle: RePEc:gam:jecnmx:v:6:y:2018:i:1:p:3-:d:127770
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    References listed on IDEAS

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    Cited by:

    1. Bariviera, Aurelio F. & Font-Ferrer, Alejandro & Sorrosal-Forradellas, M. Teresa & Rosso, Osvaldo A., 2019. "An information theory perspective on the informational efficiency of gold price," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    2. Yasmeen Idilbi-Bayaa & Mahmoud Qadan, 2022. "Tell Me Why I Do Not Like Mondays," Mathematics, MDPI, vol. 10(11), pages 1-22, May.

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    More about this item

    Keywords

    daily seasonality; ordinal patterns; stock market; symbolic analysis;
    All these keywords.

    JEL classification:

    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
    • C - Mathematical and Quantitative Methods
    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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