"Turn-of-the-year effect" using seasonal dummies
Posted: Wed Feb 24, 2021 1:39 am
Hello,
I am currently working on a study to examine seasonal effects, particularly "turn-of-the-year-effect" at stock markets. The structure of the workfile is daily irregular, so all the observations that are not trading days are excluded. What I am trying to do is to code the dummy variables in a way, that during trading days from -1 to 3, it takes the value 1 and otherwise 0. So, the trading day window takes place at the last trading on December to the third trading day on January every year. Can somebody please help me how to generate that kind of dummy variable in EViews.
Looking forward to receive an answer.
Best regards,
Aksel
I am currently working on a study to examine seasonal effects, particularly "turn-of-the-year-effect" at stock markets. The structure of the workfile is daily irregular, so all the observations that are not trading days are excluded. What I am trying to do is to code the dummy variables in a way, that during trading days from -1 to 3, it takes the value 1 and otherwise 0. So, the trading day window takes place at the last trading on December to the third trading day on January every year. Can somebody please help me how to generate that kind of dummy variable in EViews.
Looking forward to receive an answer.
Best regards,
Aksel