This paper considers an overall and basic definition of calendar effects,which is one of the market anomalies.As we all know,the efficient market anomalies refer to situations that are difficult to reconcile with the ...This paper considers an overall and basic definition of calendar effects,which is one of the market anomalies.As we all know,the efficient market anomalies refer to situations that are difficult to reconcile with the efficient market hypothesis.展开更多
It is not unusual for the level of a monthly economic time series, such as industrial production, retail and wholesale sales, monetary aggregates, telephone calls or road accidents, to be influenced by calendar effect...It is not unusual for the level of a monthly economic time series, such as industrial production, retail and wholesale sales, monetary aggregates, telephone calls or road accidents, to be influenced by calendar effects. Such effects arise when changes occur in the level of activity resulting from differences in the composition of calendar between years. The two main sources of calendar effects are trading day variations and moving festivals. Ignoring such calendar effects will lead to substantial distortions in the identification stage of time series modeling. Therefore, it is mandatory to introduce calendar effects, when they are present in a time series, as the component of the model which one wants to estimate.展开更多
文摘This paper considers an overall and basic definition of calendar effects,which is one of the market anomalies.As we all know,the efficient market anomalies refer to situations that are difficult to reconcile with the efficient market hypothesis.
文摘It is not unusual for the level of a monthly economic time series, such as industrial production, retail and wholesale sales, monetary aggregates, telephone calls or road accidents, to be influenced by calendar effects. Such effects arise when changes occur in the level of activity resulting from differences in the composition of calendar between years. The two main sources of calendar effects are trading day variations and moving festivals. Ignoring such calendar effects will lead to substantial distortions in the identification stage of time series modeling. Therefore, it is mandatory to introduce calendar effects, when they are present in a time series, as the component of the model which one wants to estimate.
