The Day of the Week Effect and Option Pricing - A Study of the German Option Market

The use of different time units in option pricing may lead to inconsistent estimates of time decay and spurious jumps in implied volatilities. Different time units in the pricing model leads to different implied volatilities although the option price itself is the same.The chosen time unit should make it necessary to adjust the volatility parameter only when there are some fundamental reasons for it and not due to wrong specifications of the model. This paper examined the effects of option pricing using different time hypotheses and empirically investigated which time frame the option markets in Germany employ over weekdays. The paper specifically tries to get a picture of how the market prices options. The results seem to verify that the German market behaves in a fashion that deviates from the most traditional time units in option pricing, calendar and trading days. The study also showed that the implied volatility of Thursdays was somewhat higher and thus differed from the pattern of other days of the week. Using a GARCH model to further investigate the effect showed that although a traditional tests, like the analysis of variance, indicated a negative return for Thursday during the same period as the implied volatilities used, this was not supported using a GARCH model.

A comparison of two statistical methods for analysis of day of the week effect on births from 2005-2007 in Harris County of Texas

The pattern of the births during the week has been reported by many studies. The births occurred in weekends are found consistently less then births occurred in weekdays. This study employed two statistical methods, two-way ANOVA and two-way Friedman's test to analyse the daily variations in amount of births of 222,735 births from 2005-2007 in Harris County, Texas. The two methods were compared on their assumptions, procedures and results. Both of the tests showed a significant result which indicated that the births through the week are not uniformly distributed. The result of multiple comparison demonstrated the births occurring on weekends were significantly different than the births occurring on weekdays with least amount on Sundays.^

Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects

This paper examines the evidence for a day-of-the-week effect in five Southeast Asian stock markets: South Korea, Malaysia, the Philippines, Taiwan and Thailand. Findings indicate significant seasonality for three of the five markets. Market risk, proxied by the return on the FTA World Price Index, is not sufficient to explain this calendar anomaly. Although an extension of the risk-return equation to incorporate interactive seasonal dummy variables can explain some significant day-of-the-week effects, market risk alone appears insufficient to characterize this phenomenon.

Elementary music and classroom teachers' time -use: A comparison by grade level, time of day, and day of the week

This study investigated time-use of elementary music teachers and elementary classroom teachers to determine: (1) whether there was a relationship between grade level, time of day, and day of the week and teachers' time-use in teaching, monitoring, and non-curricular, and (2) whether ethnicity, training, and years of experience affect teacher time-use. Sixty-nine music teachers and 55 classroom teachers participated. ^ A MANOVA was used to examine the hypothesized relationship. ANOVA results were significant for time spent teaching, monitoring, and non-curricular. An independent t test revealed a significance difference (t (302) = 5.20, p < .001) between the two groups of teachers. A significant difference was found for teaching, t (302) = 5.20, p < .001: music teachers spent more time actively teaching than did classroom teachers. There was a significant difference for monitoring (t (302) = 13.62, p < .001): classroom teachers allocated more time to monitoring than did music teachers. A significant difference was also found for non-curricular (t (302) = 7.03, p < .001): music teachers spent more time in this category of activities than did classroom teachers. ^ Analyses of the activities subsumed under the major categories indicated significant differences between elementary music teachers and elementary classroom teachers, overall, in subject matter (p < .001), discussion (p < .05), school-wide activities (p < .001), seatwork (p < .001), giving directions (p < .001), changing activities (p < .001), lunch (p < .05), planning (p < .001) and interruption (p < .001). Analyses of the relationship and ethnicity, training, degree, experience indicated significant difference for main effect, ethnicity (F(2, 116) = 4.22, p < .017). Time-use for black non-Hispanic teachers was higher than time-use for those who were Hispanic and white non-Hispanic. ^ Analyses of time-use by grade showed no increase for either group as grade level increased. A statistically significant Wilks Lambda ( F (1,294) = .917 p < .013) was found for the independent variable day of the week. ANOVA indicated that elementary classroom teachers monitored more on Thursdays and Fridays: music teachers allocated more time to non-curricular activities on Fridays. ^

Testing the weak-form market efficiency and the day of the week effects of some African countries

The aims of this work are twofold. On the one hand, it aims to find evidence supporting the presence of the weak form efficiency of several emerging African stock markets by using both parametric as well as non parametric tests. The results indicate that none of the markets are characterised by random walks with the exception of the South African stock market. On the other hand, this study aims to detect the presence of the day of the week effects of these African stock markets. Results show the existence of day of the week effects, that is the typical negative Monday and Friday positive effects in several stock markets.

Is the efficient market hypothesis day-of-the-week dependent? Evidence from the banking sector

In this article, we propose a new hypothesis: that the efficient market hypothesis is day-of-the-week-dependent. We apply the test to firms belonging to the banking sector and listed on the NYSE. We find significant evidence that the efficient market hypothesis is day-of-the-week-dependent. Overall, for only 62% of firms, the unit root null hypothesis is rejected on all the five trading days. We also discover that when investors do not account for unit root properties in devising trading strategies, they obtain spurious profits.

Exploring the periodicity of cardiovascular events in Switzerland: Variation in deaths and hospitalizations across seasons, day of the week and hour of the day

Purpose The purpose of this study is to explore the periodical patterns of events and deaths related to cardiovascular disease (CVD), acute myocardial infarction (AMI) and stroke in Swiss adults (≥18years). Methods Mortality data for period 1969–2007 (N=869,863 CVD events) and hospitalization data for period 1997–2008 (N=959,990 CVD events) were used. The annual, weekly and circadian distribution of CVD-related deaths and events were assessed. Multivariate analysis was conducted using multinomial logistic regression adjusting for age, gender and calendar year and considering deaths from respiratory diseases, accidents or other causes as competitive events. Results CVD deaths and hospitalizations occurred less frequently in the summer months. Similar patterns were found for AMI and stroke. No significant weekly variation for CVD deaths was found. Stratification by age and gender showed subjects aged <65years to present a higher probability of dying on Mondays and Saturday, only for men. This finding was confirmed after multivariate adjustment. Finally, a circadian variation in CVD mortality was observed, with a first peak in the morning (8–12am) and a smaller second peak in the late afternoon (2–6pm). This pattern persisted after multivariate adjustment and was more pronounced for AMI than for stroke. Conclusion There is a periodicity of hospitalizations and deaths related to CVD, AMI and stroke in Switzerland. This pattern changes slightly according to the age and sex of the subjects. Although the underlying mechanisms are not fully identified, preventive measures should take into account these aspects to develop better strategies of prevention and management of CVD.

Our calendar. : The Julian calendar and its errors. How corrected by the Gregorian. Rules for finding the dominical letter and the day of the week of any event from the commencement of the Christian era to the year of our Lord four thousand, a new and easy method of fixing the date of Easter. Illustrated by valuable tables and charts /

Mode of access: Internet.

Elementary music and classroom teachers' time-use: a comparison by grade level, time of day, and day of the week

This study investigated time-use of elementary music teachers and elementary classroom teachers to determine: (1) whether there was a relationship between grade level, time of day, and day of the week and teachers' time-use in teaching, monitoring, and non-curricular, and (2) whether ethnicity, training, and years of experience affect teacher time-use. Sixty-nine music teachers and 55 classroom teachers participated. A MANOVA was used to examine the hypothesized relationship. ANOVA results were significant for time spent teaching, monitoring, and non-curricular. An independent t test revealed a significance difference (t (302) = 5.20, p Analyses of the activities subsumed under the major categories indicated significant differences between elementary music teachers and elementary classroom teachers, overall, in subject matter ( p teachers was higher than time-use for those who were Hispanic and white non-Hispanic. Analyses of time-use by grade showed no increase for either group as grade level increased. A statistically significant Wilks Lambda ( F (1,294) = .917 p < .013 ) was found for the independent variable day of the week. ANOVA indicated that elementary classroom teachers monitored more on Thursdays and Fridays: music teachers allocated more time to non-curricular activities on Fridays.

A note on information seasonality and the disappearance of the weekend effect in the UK stock market

The weekend effect in UK stock prices has disappeared in the 1990s. Beneath the surface however there remain systematic day-of-the-week effects only visible when returns are partitioned by the direction of the market. A systematic pattern of market-wide news arrivals into the UK stock market is discovered and found to provide an explanation for these day-of-the-week effects.

The quiet hour : a book of prayers for every day in the week and for special occasions /

Mode of access: Internet.

An empirical investigation of the level effect in Australian interest rates

An extensive literature examines the dynamics of interest rates, with particular attention given to the positive relationship between interest-rate volatility and the level of interest rates—the so-called level effect. This paper examines the interaction between the estimated level effect and competing parameterisations of interest-rate volatility for the Australian yield curve. We adopt a new methodology that estimates elasticity in a multivariate setting that explicitly accommodates the correlations that exist between various yield factors. Results show that significant correlations exist between the residuals of yield factors and that such correlations do indeed impact on model estimates. Within the multivariate setting, the level of the short rate is shown to be a crucial determinant of the conditional volatility of all three yield factors. Measures of model fit suggest that, in addition to the usual level effect, the incorporation of GARCH effects and possible regime shifts is important