### Dummy Variables for testing January effect

Posted:

**Fri Mar 20, 2009 10:19 am**Hi All,

I am new to Eviews and am begining to learn what this software can do.

I'm sorry if I ask a dumb question.

Currently I need to test january effect on the stock market and so far I've gathered FTSE100 index data from 1984 to 2008.

From the data, I've sorted it and stored the daily return in an eview work file.

Daily return calculation: log(P/Pt-1)

My model to test January effect:

Return = B1D1 + B2D2 ... B12D12

D1-D12 are dumy variables representing january to december.

B1-B12 are representing the estimate of a mean return from Jan to December.

The problem is how do I put this into eview. I believe I need to create 12 dumy variables for each month.

It would be good to have some guidance.

Thanks,

walajee

I am new to Eviews and am begining to learn what this software can do.

I'm sorry if I ask a dumb question.

Currently I need to test january effect on the stock market and so far I've gathered FTSE100 index data from 1984 to 2008.

From the data, I've sorted it and stored the daily return in an eview work file.

Daily return calculation: log(P/Pt-1)

My model to test January effect:

Return = B1D1 + B2D2 ... B12D12

D1-D12 are dumy variables representing january to december.

B1-B12 are representing the estimate of a mean return from Jan to December.

The problem is how do I put this into eview. I believe I need to create 12 dumy variables for each month.

It would be good to have some guidance.

Thanks,

walajee