Estimate model and test hypothesis there is no friday effect

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Reference no: EM131224686

Now consider similar questions of the previous exercise for individual stock returns. We use the daily simple returns of Dell stock in this exercise.

(a) Is there a Friday effect on the daily simple returns of Dell stock? Estimate your model and test the hypothesis that there is no Friday effect. Draw your conclusion.

(b) Are there serial correlations in the residuals? Use Q(12) to perform the test. Draw your conclusion.

(c) Refine the above model by using the technique of a regression model with time series errors. In there a significant Friday effect based on the refined model?

Reference no: EM131224686

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