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

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

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 ma...

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Bibliographic Details
Main Authors: Darko Stosic, Dusan Stosic, Irena Vodenska, H. Eugene Stanley, Tatijana Stosic
Format: Article
Language:English
Published: MDPI AG 2022-04-01
Series:Entropy
Subjects:
calendar anomalies
day-of-the-week effect
market indices
multifractal detrended fluctuation analysis
Online Access:https://www.mdpi.com/1099-4300/24/4/562

Internet

https://www.mdpi.com/1099-4300/24/4/562

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