haku: @author De Ceuster, M. J. K. / yhteensä: 2
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| Tekijä: | De Ceuster, M. J. K. Dhaene, G. Schatteman, T. |
| Otsikko: | On the hypothesis of psychological barriers in stock markets and Benford's Law |
| Lehti: | Journal of Empirical Finance
1998 : SEP, VOL. 5:3, p. 263-279 |
| Asiasana: | Stock markets Psychology |
| Vapaa asiasana: | Psychological barriers |
| Kieli: | eng |
| Tiivistelmä: | In the paper, the hypothesis of psychological barriers at round numbers of a stock index is considered. This hypothesis is often examined by testing the uniformity of the distribution of the trailing digits in the stock index, a rejection being interpreted as evidencing the existence of psychological barriers. By virtue of Benford's Law, it is shown that the uniform distribution is not the right benchmark against which to test. As an alternative a test based on the cyclical permutations of the actual returns is proposed. Applying this test to the Dow Jones 30 Industrial Average, the Financial Times - Stock Exchange 100 and Nikkei Stock Average 225, there is no convincing evidence found of psychological barriers, contrary to findings made previously. |
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