Resumen de Salient features of dependence in daily us stock market indices

Luis Alberiko Gil Alaña, Juncal Cuñado Eizaguirre, Fernando Pérez de Gracia Hidalgo

• This paper deals with the analysis of dependence in the US stock market. We focus first on the log-values of the Dow Jones Industrial Average, Standard and Poors 500 and Nasdaq indices, daily from February, 1971 to February, 2007. The volatility processes are also examined based on the squared and absolute values of the returns series.

  Finally, the ¿day of the week¿ effect is also investigated by looking at the orders of integration for each day of the week. A new modelling approach to describe the dependence in this context is also presented. The results suggests that there are very similar patterns for the Dow Jones Industrial Average, Standard and Poors 500. Further, the lowest degrees of dependence are observed on Mondays and Tuesdays.