Spectral Analysis of Stock Data Series and Evidence of Day-of-the-Week Effects  

作　　者：李卫华 王朔中 

出　　处：《Journal of Shanghai University(English Edition)》2002年第2期136-140,共5页上海大学学报（英文版）

摘　　要：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.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.

关 键 词：daily return day  of  the  week effect PERIODOGRAM maximum entropy. 

分 类 号：F830.9[经济管理—金融学]