i am doing a thesis that tests the day of the week effect and the january effect on the sse composite index. i have conducted the tests for d-o-t-w and i have followed the frequency conversion slides to change my daily first difference log returns into the average for each month. my question is, in order to conduct the january effect on my new page which is monthly frequency with the average monthly returns, do i need to convert the "date" series on my weekly data page to monthly? and if so, is it correct to use the average method of high to low frequency conversion? alternatively, can i still test the january effect on my daily data page by grouping the date series in order to display 01 for january etc, and creating dummy variables that way?
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