Seasonal affective disorder and the Romanian stock market

Figures & data

Table 1. Descriptive statistics.

Descriptive statistics	S1	S2	S3
	DGR_BET	DGR_DAYL	DGR_BET	DGR_DAYL	DGR_BET	DGR_DAYL
Mean	0.001786	0.000257	-0.000501	-0.000308	0.000293	-0.000128
Median	0.001213	0.000000	0.000126	-0.00108	0.000233	-0.000462
Maximum	0.145765	0.041451	0.128466	0.328744	0.014821	0.116750
Minimum	-0.119018	-0.017944	-0.11824	-0.351172	-0.016830	-0.106675
Std. Dev.	0.015194	0.005853	0.020053	0.014276	0.003335	0.007303
Skewness	0.425155	0.254956	-0.388227	-1.924059	0.007350	1.852817
Kurtosis	13.02781	4.821082	9.039051	481.1997	5.607316	207.0341
Jarque-Bera	6874.380	242.7448	2080.723	12,835,214	152.3955	933511.8
Probability	0.000000	0.000000	0.000000	0.000000	0.000000	0.000000
Sum	2.908674	0.418452	-0.674201	-0.41519	0.157790	-0.068966
Sum Sq. Dev.	0.375821	0.055768	0.541278	0.274322	0.005971	0.028636
Observations	1629	1629	1347	1347	538	538

Source: Author’s E-views estimation.

Table 2. Regression results for S1.

Variables	Coefficients
C	0.001464***(0.000380)
DGR_BET(-1)	0.106973***(0.024691)
DGR_DAYL	0.149478(0.082936)
DGR_DAYL(-1)	-0.217373***(0.082834)
D_JAN	0.006006**(0.002436)

Source: Author’s E-views estimation.

Included observations: 1628 after adjustments.

standard error in ().

^* significant at 10% level,

^** at 5% level,

^*** at 1% level.

Table 3. Regression results for S2.

Variables	Coefficients
C	-0.000491(0.000556)
DGR_BET(-1)	0.094753***(0.027192)
DGR_DAYL	0.050359(0.038377)
DGR_DAYL(-1)	-0.031062(0.038379)
D_JAN	0.001682(0.002855)

Source: Author’s E-views estimation.

Included observations: 1,346 after adjustments.

standard error in ().

^* significant at 10% level,

^** at 5% level,

^*** at 1% level.

Table 4. Regression results for S3.

Variables	Coefficients
C	0.000188(0.000143)
DGR_BET(-1)	0.043314* (0.023197)
DGR_DAYL^2	-0.273307(0.187351)
DGR_DAYL(-1)^2	-0.395706**(0.187685)
D_JAN	0.004279***(0.000876)

Source: Author’s E-views estimation.

Included observations: 537 after adjustments.

standard error in ().

^* significant at 10% level,

^** at 5% level,

^*** at 1% level.

Table

Variable	Augmented Dickey-Fuller test
	Intercept	Intercept and trend		None
DGR_BET	-36.00247***	-36.00048***		-35.57473**
DGR_DAYL	-4.213610***	-4.210748***		-4.204477***
	Elliott-Rothenberg-Stock DF-GLS test
	Intercept		Intercept and trend
DGR_BET	-35.90480***		-35.93033***
DGR_DAYL	-2.866598***		-3.663462***
	Phillips-Perron test
	Intercept	Intercept and trend		None
DGR_BET	-35.95678***	-35.95008***		-35.91001***
DGR_DAYL	-34.11263***	-34.11911***		-34.07249***

Table

Variable	Augmented Dickey-Fuller test
	Intercept	Intercept and trend		None
DGR_BET	-33.24826***	-33.28151***		-33.24188***
DGR_DAYL	-5.517860***	-5.511264***		-5.508296***
	Elliott-Rothenberg-Stock DF-GLS test
	Intercept		Intercept and trend
DGR_BET	-33.19593***		-33.24772***
DGR_DAYL	-5.221720***		-5.413238***
	Phillips-Perron test
	Intercept	Intercept and trend		None
DGR_BET	-33.29559***	-33.34123***		-33.26227***
DGR_DAYL	-34.32599***	-34.31552***		-34.33347***

Table

Variable	Augmented Dickey-Fuller test
	Intercept	Intercept and trend		None
DGR_BET	-53.20020***	-53.29489***		-53.12371***
DGR_DAYL	-5.612002***	-5.629340***		-5.613110***
	Elliott-Rothenberg-Stock DF-GLS test
	Intercept		Intercept and trend
DGR_BET	-52.51761***		-53.23020***
DGR_DAYL	-4.012981***		-4.926887***
	Phillips-Perron test
	Intercept	Intercept and trend		None
DGR_BET	-53.29914***	-53.29786***		-53.33855***
DGR_DAYL	-70.97462***	-70.93824***		-70.97762***